# 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

## 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 |