Man pages for covmat
Covariance Matrix Estimation

compareCovThis is a utility function to compare two covariance matrices
dow30dataSymbol Data
estRMTDenoising of Covariance matrix using Random Matrix Theory
estSpikedCovariance(Donoho, Gavish, and Johnstone, 2013)
etfdataSymbol Data
factor.dataFactor Data
isdccfitFit an Independent Regime Switching Model
missingdataSymbol Data
plot.isdccImplied State plot
plotmissingPlot data to visualize missing values
plot.RMTEigenvalue plot
plotSpikedCovarianceEigenvalue plot. Similar to figure 1 in the paper
rmtdataSimulated data for Spiked Covarianve Model
robustMultExpSmoothingRobust Multivariate Exponential Smoothing
smoothing.matrixOptimal Smoothing Matrix
covmat documentation built on May 30, 2017, 4:36 a.m.