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>.

Getting started

Package details

AuthorChristian Bongiorno and Damien Challet
MaintainerDamien Challet <>
Package repositoryView on CRAN
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bahc documentation built on Oct. 23, 2020, 8:22 p.m.