CovEstim-package: (High-dimensional) Covariance Estimation
In antshi/CovEstim: (High-dimensional) Covariance Estimation
Description
Author(s)
Examples
Description
The package CovEstim provides various functions for estimating (high-dimensional) covariance
matrices according to most recent advances in the academic literature.
Author(s)
Antoniya Shivarova
Examples
1
2
3
4
data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim_wrapper(sp_rets, est_func=sigma_estim_ml) # ML estimator
sigma_lwnl_cpp <- sigma_estim_lwnl_cpp(as.matrix(sp_rets)) #LW-Nonlinear Shrinkage with Rcpp
antshi/CovEstim documentation built on Nov. 13, 2020, 2:25 p.m.
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Description Author(s) Examples
Description
The package CovEstim provides various functions for estimating (high-dimensional) covariance matrices according to most recent advances in the academic literature.
Author(s)
Antoniya Shivarova
Examples
1 2 3 4 | data(sp200)
sp_rets <- sp200[,-1]
sigma_ml <- sigma_estim_wrapper(sp_rets, est_func=sigma_estim_ml) # ML estimator
sigma_lwnl_cpp <- sigma_estim_lwnl_cpp(as.matrix(sp_rets)) #LW-Nonlinear Shrinkage with Rcpp
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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