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.
|Author||YaChen Yan [aut, cre], FangZhu Lin [aut]|
|Date of publication||2016-04-25 15:32:07|
|Maintainer||YaChen Yan <[email protected]>|
|Package repository||View on CRAN|
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