Man pages for arorar/covmat
Covariance Matrix Estimation

compareCovThis is a utility function to compare two covariance matrices
dow30dataSymbol Data
estRMTDenoising of Covariance matrix using Random Matrix Theory
estSpikedCovariance(Donoho, Gavish, and Johnstone, 2013)
etfdataSymbol Data
factor.dataFactor Data
fmmc.covThis is an implementation of covariance matrix estimation...
isdccfitFit an Independent Regime Switching Model
missingdataSymbol Data
plot.isdccImplied State plot
plotmissingPlot data to visualize missing values
plot.RMTEigenvalue plot
plotSpikedCovarianceEigenvalue plot. Similar to figure 1 in the paper
plot.stambaughPlot Ellipsis or Distance plot for the Stambaugh estimator
rmtdataSimulated data for Spiked Covarianve Model
robustMultExpSmoothingRobust Multivariate Exponential Smoothing
smoothing.matrixOptimal Smoothing Matrix
stambaugh.distance.plotCompute Mahalanobis distances for each of the data points and...
stambaugh.ellipse.plotPlot Ellipsis for the Stambaugh estimator
stambaugh.estImplement Stamgaugh Covariance estimate for multiple starting...
stambaugh.fitEstimate covariance matrices using Stambaugh method for...
arorar/covmat documentation built on June 3, 2017, 10:07 p.m.