Man pages for arorar/covmat
Covariance Matrix Estimation
| compareCov | This is a utility function to compare two covariance matrices |
| dow30data | Symbol Data |
| estRMT | Denoising of Covariance matrix using Random Matrix Theory |
| estSpikedCovariance | (Donoho, Gavish, and Johnstone, 2013) |
| etfdata | Symbol Data |
| factor.data | Factor Data |
| fmmc.cov | This is an implementation of covariance matrix estimation... |
| isdccfit | Fit an Independent Regime Switching Model |
| missingdata | Symbol Data |
| plot.isdcc | Implied State plot |
| plotmissing | Plot data to visualize missing values |
| plot.RMT | Eigenvalue plot |
| plotSpikedCovariance | Eigenvalue plot. Similar to figure 1 in the paper |
| plot.stambaugh | Plot Ellipsis or Distance plot for the Stambaugh estimator |
| rmtdata | Simulated data for Spiked Covarianve Model |
| robustMultExpSmoothing | Robust Multivariate Exponential Smoothing |
| smoothing.matrix | Optimal Smoothing Matrix |
| stambaugh.distance.plot | Compute Mahalanobis distances for each of the data points and... |
| stambaugh.ellipse.plot | Plot Ellipsis for the Stambaugh estimator |
| stambaugh.est | Implement Stamgaugh Covariance estimate for multiple starting... |
| stambaugh.fit | Estimate covariance matrices using Stambaugh method for... |
