stock04: log-returns of 9 stocks from 2004

In MRCE: Multivariate Regression with Covariance Estimation

Description

Weekly log-returns of 9 stocks from 2004, analyzed in Yuan et al. (2007)

Usage

data(stock04)

Format

The format is: num [1:52, 1:9] 0.002275 -0.003795 0.012845 0.017489 -0.000369 ... - attr(*, "dimnames")=List of 2 ..$ : NULL ..$ : chr [1:9] "Walmart" "Exxon" "GM" "Ford" ...

Source

Yuan, M., Ekici, A., Lu, Z., and Monteiro, R. (2007). Dimension reduction and coefficient estimation in multivariate linear regression. Journal of the Royal Statistical Society Series B, 69(3):329–346.

References

Yuan, M., Ekici, A., Lu, Z., and Monteiro, R. (2007). Dimension reduction and coefficient estimation in multivariate linear regression. Journal of the Royal Statistical Society Series B, 69(3):329–346.

MRCE documentation built on Jan. 5, 2022, 1:07 a.m.