The hardware and bandwidth for this mirror is donated by METANET, the Webhosting and Full Service-Cloud Provider.
If you wish to report a bug, or if you are interested in having us mirror your free-software or open-source project, please feel free to contact us at mirror[@]metanet.ch.
Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.
| Version: | 1.1.0 |
| Depends: | R (≥ 2.10) |
| Imports: | stats, graphics, quadprog |
| Published: | 2016-04-25 |
| Author: | YaChen Yan [aut, cre], FangZhu Lin [aut] |
| Maintainer: | YaChen Yan <yanyachen21 at gmail.com> |
| BugReports: | http://github.com/yanyachen/FinCovRegularization/issues |
| License: | GPL-2 |
| URL: | http://github.com/yanyachen/FinCovRegularization |
| NeedsCompilation: | no |
| CRAN checks: | FinCovRegularization results |
| Reference manual: | FinCovRegularization.pdf |
| Package source: | FinCovRegularization_1.1.0.tar.gz |
| Windows binaries: | r-devel: FinCovRegularization_1.1.0.zip, r-release: FinCovRegularization_1.1.0.zip, r-oldrel: FinCovRegularization_1.1.0.zip |
| macOS binaries: | r-release (arm64): FinCovRegularization_1.1.0.tgz, r-oldrel (arm64): FinCovRegularization_1.1.0.tgz, r-release (x86_64): FinCovRegularization_1.1.0.tgz, r-oldrel (x86_64): FinCovRegularization_1.1.0.tgz |
| Old sources: | FinCovRegularization archive |
| Reverse imports: | bspcov |
Please use the canonical form https://CRAN.R-project.org/package=FinCovRegularization to link to this page.
These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.