covmat: Covariance Matrix Estimation

We implement a collection of techniques for estimating covariance matrices. Covariance matrices can be built using missing data. Stambaugh Estimation and FMMC methods can be used to construct such matrices. Covariance matrices can be built by denoising or shrinking the eigenvalues of a sample covariance matrix. Such techniques work by exploiting the tools in Random Matrix Theory to analyse the distribution of eigenvalues. Covariance matrices can also be built assuming that data has many underlying regimes. Each regime is allowed to follow a Dynamic Conditional Correlation model. Robust covariance matrices can be constructed by multivariate cleaning and smoothing of noisy data.

Author
Rohit Arora
Date of publication
2015-09-28 18:46:22
Maintainer
Rohit Arora <emailrohitarora@gmail.com>
License
Artistic-2.0
Version
1.0

View on CRAN

Man pages

compareCov
This is a utility function to compare two covariance matrices
dow30data
Symbol Data
estRMT
Denoising of Covariance matrix using Random Matrix Theory
estSpikedCovariance
(Donoho, Gavish, and Johnstone, 2013)
etfdata
Symbol Data
factor.data
Factor Data
isdccfit
Fit an Independent Regime Switching Model
missingdata
Symbol Data
plot.isdcc
Implied State plot
plotmissing
Plot data to visualize missing values
plot.RMT
Eigenvalue plot
plotSpikedCovariance
Eigenvalue plot. Similar to figure 1 in the paper
rmtdata
Simulated data for Spiked Covarianve Model
robustMultExpSmoothing
Robust Multivariate Exponential Smoothing
smoothing.matrix
Optimal Smoothing Matrix

Files in this package

covmat
covmat/inst
covmat/inst/scripts
covmat/inst/scripts/getFactorData.R
covmat/inst/scripts/getSymbolData.R
covmat/inst/doc
covmat/inst/doc/CovarianceEstimation.pdf
covmat/inst/doc/CovarianceEstimation.R
covmat/inst/doc/CovarianceEstimation.Rmd
covmat/NAMESPACE
covmat/data
covmat/data/dow30data.RData
covmat/data/rmtdata.RData
covmat/data/etfdata.RData
covmat/data/factordata.RData
covmat/data/missingdata.RData
covmat/R
covmat/R/spikedCovariance.R
covmat/R/covUitls.R
covmat/R/robustCoux.R
covmat/R/randomMatrix.R
covmat/R/datasets.R
covmat/R/independentSwitchingDCC.R
covmat/vignettes
covmat/vignettes/CovarianceEstimation_cache
covmat/vignettes/CovarianceEstimation_cache/rmt_strategy_rets.RData
covmat/vignettes/CovarianceEstimation_cache/croux_smoothfit.RData
covmat/vignettes/CovarianceEstimation_cache/Thumbs.db
covmat/vignettes/CovarianceEstimation_cache/Shrinkage.png
covmat/vignettes/CovarianceEstimation_cache/isdcc_model.RData
covmat/vignettes/CovarianceEstimation_cache/isdcc_strategy_rets.RData
covmat/vignettes/Thumbs.db
covmat/vignettes/references.bib
covmat/vignettes/CovarianceEstimation.Rmd
covmat/README.md
covmat/MD5
covmat/build
covmat/build/vignette.rds
covmat/DESCRIPTION
covmat/man
covmat/man/compareCov.Rd
covmat/man/factor.data.Rd
covmat/man/dow30data.Rd
covmat/man/missingdata.Rd
covmat/man/plotSpikedCovariance.Rd
covmat/man/robustMultExpSmoothing.Rd
covmat/man/plot.isdcc.Rd
covmat/man/etfdata.Rd
covmat/man/plot.RMT.Rd
covmat/man/estRMT.Rd
covmat/man/estSpikedCovariance.Rd
covmat/man/smoothing.matrix.Rd
covmat/man/plotmissing.Rd
covmat/man/isdccfit.Rd
covmat/man/rmtdata.Rd