Man pages for antshi/CovEstim
(High-dimensional) Covariance Estimation
| CovEstim-package | (High-dimensional) Covariance Estimation |
| is_posdef | Matrix Positive-Definiteness Check |
| is_sparse | Matrix Sparsity Check |
| make_posdef | Matrix Positive-Definiteness |
| near_posdef | Nearest Positive-Definite Matrix |
| sigma_estim | Wrapper Function for Covariance Estimation II |
| sigma_estim_afm | Approximate Factor Model (AFM) Covariance Estimation |
| sigma_estim_bs | Bayes-Stein Covariance Estimation |
| sigma_estim_condreg | Condition-Number Regularized Covariance Estimation |
| sigma_estim_efm | Exact Factor Model (EFM) Covariance Estimation |
| sigma_estim_evc_bp | Eigenvalue Clipping Covariance Estimation (Bouchaud-Potters) |
| sigma_estim_evc_mp | Eigenvalue Clipping Covariance Estimation (Marcenko-Pastur) |
| sigma_estim_ewma | EWMA Covariance Estimation |
| sigma_estim_ghs | Graphical Horseshoe Covariance Estimation |
| sigma_estim_glasso | Graphical Lasso (GLASSO) Covariance Estimation |
| sigma_estim_glasso_slim | Graphical Lasso (GLASSO) Covariance Estimation - the slim... |
| sigma_estim_lwcc | Ledoit-Wolf Linear Shrinkage Covariance Estimation III |
| sigma_estim_lwcc_cpp | Ledoit-Wolf Linear Shrinkage Covariance Estimation III (CPP) |
| sigma_estim_lwcc_sf | #' Ledoit-Wolf Linear Shrinkage Covariance Estimation IV |
| sigma_estim_lwident | Ledoit-Wolf Linear Shrinkage Covariance Estimation I |
| sigma_estim_lwident_cpp | Ledoit-Wolf Linear Shrinkage Covariance Estimation I (CPP) |
| sigma_estim_lwnl | Ledoit-Wolf Covariance Estimation (Nonlinear Shrinkage) |
| sigma_estim_lwnl_cpp | Ledoit-Wolf Covariance Estimation (Nonlinear Shrinkage) (CPP) |
| sigma_estim_lwone | Ledoit-Wolf Linear Shrinkage Covariance Estimation II |
| sigma_estim_lwone_cpp | Ledoit-Wolf Linear Shrinkage Covariance Estimation II (CPP) |
| sigma_estim_ml | Maximum-Likelihood Covariance Estimation |
| sigma_estim_nercome | Nonparametric eigenvalue-regularized Precision or Covariance... |
| sigma_estim_pca | PCA Covariance Estimation |
| sigma_estim_poet | Principal Orthogonal ComplEment Thresholding (POET)... |
| sigma_estim_precond | Covariance Estimation - Preconditioned |
| sigma_estim_ridge | Ridge-Penalized Covariance Estimation |
| sigma_estim_sample | Sample Covariance Estimation |
| sigma_estim_sh | Stein-Haff Covariance Estimation |
| sigma_estim_tlasso | t-Lasso (TLASSO) Covariance Estimation |
| sigma_estim_wrapper | Wrapper Function for Covariance Estimation I |
| sigma_sim | Simulated Covariance Matrix |
| sp200 | 200 monthly stock returns |
| sqrt_root_calc | Squared Root of a Matrix |
