BurStFin: Burns Statistics Financial

A suite of functions for finance, including the estimation of variance matrices via a statistical factor model or Ledoit-Wolf shrinkage.

Author
Burns Statistics
Date of publication
2014-03-09 19:24:28
Maintainer
Pat Burns <patrick@burns-stat.com>
License
Unlimited
Version
1.02
URLs

View on CRAN

Man pages

alpha.proxy
Compute and Plot Alpha Proxy
factor.model.stat
Estimate Variance Matrix via Statistical Factors
fitted.statfacmodBurSt
Variance Matrix From Statistical Factor Model
partial.rainbow
Create Palette Function for Part of Rainbow
slideWeight
Generate Time Weights Flexiibly
threeDarr
Combine matrices into 3D array
var.add.benchmark
Expand a Variance Matrix to Include a Benchmark
var.relative.benchmark
Transform a Variance Matrix to be Relative to a Benchmark
var.shrink.eqcor
Ledoit-Wolf Shrinkage Variance Estimate

Files in this package

BurStFin
BurStFin/inst
BurStFin/inst/NEWS
BurStFin/NAMESPACE
BurStFin/R
BurStFin/R/alpha.proxy.R
BurStFin/R/slideWeight.R
BurStFin/R/factor.model.stat.R
BurStFin/R/var.add.benchmark.R
BurStFin/R/threeDarr.R
BurStFin/R/partial.rainbow.R
BurStFin/R/fitted.statfacmodBurSt.R
BurStFin/R/var.shrink.eqcor.R
BurStFin/R/var.relative.benchmark.R
BurStFin/MD5
BurStFin/DESCRIPTION
BurStFin/man
BurStFin/man/factor.model.stat.Rd
BurStFin/man/slideWeight.Rd
BurStFin/man/fitted.statfacmodBurSt.Rd
BurStFin/man/partial.rainbow.Rd
BurStFin/man/alpha.proxy.Rd
BurStFin/man/var.relative.benchmark.Rd
BurStFin/man/var.shrink.eqcor.Rd
BurStFin/man/var.add.benchmark.Rd
BurStFin/man/threeDarr.Rd