CondReg: Condition Number Regularized Covariance Estimation
Version 0.20

Based on \url{http://statistics.stanford.edu/~ckirby/techreports/GEN/2012/2012-10.pdf}

AuthorSang-Yun Oh <syoh@lbl.gov>, Joong-Ho Won <wonj@stats.snu.ac.kr>
Date of publication2014-07-10 07:33:59
MaintainerSang-Yun Oh <syoh@lbl.gov>
LicenseGPL-3
Version0.20
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("CondReg")

Popular man pages

datasnp: Standard & Poors index
kgrid: Return a vector of grid of penalties for cross-validation
path_backward: Compute optimal u of Lemma 1 in JRSSB paper using the...
path_forward: Compute optimal u of Lemma 1 in JRSSB paper using the forward...
select_condreg: Compute the best condition number regularized based based on...
select_kmax: Selection of penalty parameter based on cross-validation
transcost: Compute transaction cost
See all...

All man pages Function index File listing

Man pages

condreg: Compute the condition number with given penalty parameter
crbulk: Computes multiple solutions
datasnp: Standard & Poors index
kgrid: Return a vector of grid of penalties for cross-validation
ml_solver: Compute shrinkage of eigenvalues for condreg
path_backward: Compute optimal u of Lemma 1 in JRSSB paper using the...
path_forward: Compute optimal u of Lemma 1 in JRSSB paper using the forward...
pfweights: Compute optimal portfolio weights
R: Weekly stock price data
select_condreg: Compute the best condition number regularized based based on...
select_kmax: Selection of penalty parameter based on cross-validation
transcost: Compute transaction cost

Functions

R Man page
condreg Man page Source code
crbulk Man page Source code
datasnp Man page
kgrid Man page Source code
ml_solver Man page Source code
path_backward Man page Source code
path_forward Man page Source code
pfweights Man page Source code
select_condreg Man page Source code
select_kmax Man page Source code
transcost Man page Source code

Files

NAMESPACE
demo
demo/compare_wealth.R
demo/00Index
data
data/simulationdata.RData
R
R/condreg.R
MD5
DESCRIPTION
man
man/transcost.Rd
man/datasnp.Rd
man/path_backward.Rd
man/ml_solver.Rd
man/condreg.Rd
man/select_kmax.Rd
man/path_forward.Rd
man/R.Rd
man/crbulk.Rd
man/select_condreg.Rd
man/kgrid.Rd
man/pfweights.Rd
CondReg documentation built on May 19, 2017, 3:47 p.m.

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