FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

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.

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Package details

AuthorYaChen Yan [aut, cre], FangZhu Lin [aut]
MaintainerYaChen Yan <>
Package repositoryView on CRAN
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FinCovRegularization documentation built on May 1, 2019, 8:48 p.m.