Description Usage Arguments Details Value Author(s) See Also Examples

Used to filter out all eigenvalues below k*. At a later date this will become pluggable so other people can use their own functions and/or provide their own parameters to this function.

1 2 3 4 |

`h` |
A returns object |

`es` |
Eigenvalues and vectors |

`lambda.plus` |
Eigenvalue cutoff for cleaning |

`...` |
Arguments |

denoise(p, estimator)

normalize(h)

These are different implementations of the denoise function based on the estimator provided.

A cleaned correlation matrix.

Brian Lee Yung Rowe

1 2 3 4 5 6 7 8 9 10 11 | ```
## Not run:
data(sp500.subset)
h <- sp500.subset
p <- TawnyPortfolio(h, 150)
r1 <- denoise(p, SampleDenoiser())
r2 <- denoise(p, EmpiricalDenoiser())
r3 <- denoise(p, ShrinkageDenoiser())
r4 <- denoise(p, RandomMatrixDenoiser())
## End(Not run)
``` |

tawny documentation built on April 21, 2018, 1:05 a.m.

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