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bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz
A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.
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Package details |
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| Author | Christian Bongiorno and Damien Challet |
| Maintainer | Damien Challet <damien.challet@gmail.com> |
| License | GPL |
| Version | 0.3.0 |
| Package repository | View on CRAN |
| Installation |
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