CondReg: Condition Number Regularized Covariance Estimation

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

Author
Sang-Yun Oh <syoh@lbl.gov>, Joong-Ho Won <wonj@stats.snu.ac.kr>
Date of publication
2014-07-10 07:33:59
Maintainer
Sang-Yun Oh <syoh@lbl.gov>
License
GPL-3
Version
0.20

View on CRAN

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

Files in this package

CondReg
CondReg/NAMESPACE
CondReg/demo
CondReg/demo/compare_wealth.R
CondReg/demo/00Index
CondReg/data
CondReg/data/simulationdata.RData
CondReg/R
CondReg/R/condreg.R
CondReg/MD5
CondReg/DESCRIPTION
CondReg/man
CondReg/man/transcost.Rd
CondReg/man/datasnp.Rd
CondReg/man/path_backward.Rd
CondReg/man/ml_solver.Rd
CondReg/man/condreg.Rd
CondReg/man/select_kmax.Rd
CondReg/man/path_forward.Rd
CondReg/man/R.Rd
CondReg/man/crbulk.Rd
CondReg/man/select_condreg.Rd
CondReg/man/kgrid.Rd
CondReg/man/pfweights.Rd