README.md

In IshmaelBelghazi/CMEtest: Covariance Matrix Estimation test

CMEtest v0.1

Architecture

General Architecture: Prototype Methods: A few Documentation: nil Vignettes: 1 Bridge to ReturnAnalytics: PortfolioAnalytics only

Statistical Methods

Smoothing:

Boudt: Implemented EWMA: Not Implemented

Covariance Estimation

Classical

MLE: Implemented

Robust

Affine Equivariant

Minimum Covariance Determinant

fast: Implemented weighted: Implemented

Projection method

Donoho-Stahel: Implemented

M estimator

Rocke: Implemented

Pairwise

OQC: Implemented GK: Implemented

EWMA:

Classical: Not Implemented

Robust: Not Implemented

Covariance Shrinking:

Linear:

LW: Not implemented

Non-Linear:

Fixed-Rank: Not Implemented Proportional-Rank: Not Implemented

Filtering

Random Matrix theory: Implemented Analogical Estimator: Implemented Minimimum Deviance Estimator: Implemented

Unequal data protocols:

Facor Model Monte Carlo: Not implemented Staumbaugh: Not implemented Robust Staumbaugh: Not Implemented

Additional statistical tools:

Mahalanobis: Not implemented Matrix correlation test: Not Implemented

IshmaelBelghazi/CMEtest documentation built on May 7, 2019, 6:44 a.m.