Man pages for antshi/CovEstim
(High-dimensional) Covariance Estimation
| cov_estim_afm | Approximate Factor Model Covariance Estimation |
| cov_estim_bs | Bayes-Stein Covariance Estimation |
| cov_estim_efm | Exact Factor Model Covariance Estimation |
| cov_estim_evc_bp | Eigenvalue Clipping Covariance Estimation (Bouchaud-Potters) |
| cov_estim_evc_mp | Eigenvalue Clipping Covariance Estimation (Marcenko-Pastur) |
| cov_estim_ewma | EWMA Covariance Estimation |
| cov_estim_glasso | Graphical Lasso Covariance Estimation |
| cov_estim_lwcc | Ledoit-Wolf Covariance Estimation (Linear Shrinkage) III |
| cov_estim_lwcc_sf | Ledoit-Wolf Covariance Estimation (Linear Shrinkage) IV |
| cov_estim_lwident | Ledoit-Wolf Covariance Estimation (Linear Shrinkage) I |
| cov_estim_lwnl | Ledoit-Wolf Covariance Estimation (Nonlinear Shrinkage) |
| cov_estim_lwone | Ledoit-Wolf Covariance Estimation (Linear Shrinkage) II |
| cov_estim_ml | Maximum-Likelihood Covariance Estimation |
| cov_estim_pca | Principal Component Analysis Covariance Estimation |
| cov_estim_poet | Principal Orthogonal ComplEment Thresholding (POET)... |
| cov_estim_precond_sf | Covariance Estimation after Preconditioning with a Single... |
| cov_estim_ridge | Ridge-Penalized Covariance Estimation |
| cov_estim_sample | Sample Covariance Estimation |
| cov_estim_sh | Stein-Haff Covariance Estimation |
| cov_estim_tlasso | t-Lasso Covariance Estimation |
| cov_estim_wrapper | Wrapper Function for Covariance Estimation I |
| cov_estim_wrapper2 | Wrapper Function for Covariance Estimation II |
| is_posdef | Matrix Positive-Definiteness Check |
| is_sparse | Matrix Sparsity Check |
| make_posdef | Matrix Positive-Definiteness |
| near_posdef | Nearest Positive-Definite Matrix |
| rets_m | Monthly stock returns data from the S&P500 index |
| sigma_sim | Simulated Covariance Matrix |
| sqrt_root_mat_calc | Squared Root of a Matrix |
