BurStFin: Burns Statistics Financial
Version 1.02

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

Browse man pages Browse package API and functions Browse package files

AuthorBurns Statistics
Date of publication2014-03-09 19:24:28
MaintainerPat Burns <patrick@burns-stat.com>
LicenseUnlimited
Version1.02
URL http://www.burns-stat.com/
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("BurStFin")

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

Functions

alpha.proxy Man page
factor.model.stat Man page
fitted.statfacmodBurSt Man page
partial.rainbow Man page
slideWeight Man page
threeDarr Man page
var.add.benchmark Man page
var.relative.benchmark Man page
var.shrink.eqcor Man page

Files

inst
inst/NEWS
NAMESPACE
R
R/alpha.proxy.R
R/slideWeight.R
R/factor.model.stat.R
R/var.add.benchmark.R
R/threeDarr.R
R/partial.rainbow.R
R/fitted.statfacmodBurSt.R
R/var.shrink.eqcor.R
R/var.relative.benchmark.R
MD5
DESCRIPTION
man
man/factor.model.stat.Rd
man/slideWeight.Rd
man/fitted.statfacmodBurSt.Rd
man/partial.rainbow.Rd
man/alpha.proxy.Rd
man/var.relative.benchmark.Rd
man/var.shrink.eqcor.Rd
man/var.add.benchmark.Rd
man/threeDarr.Rd
BurStFin documentation built on May 19, 2017, 8:40 p.m.