Man pages for monkeypicked/aace
Covariance estimation

aace-packageCovariance Estimation
buiceExtractor for identifiers (all)
devceExtractor for score on: deviation of rem from x-section mean
faceReturns decomposed by all factors 1:k, + residual, +...
fmpceFactor mimicking portfolio weights (but still in reduced...
fms2Covariance Estimation by modified PCA
fulceExtractor for identifiers of columns with no NA (full data)
genfrdceFactor risk decomposition by security
ldgceExtractor for loadings
ldggmaceExtractor for loadings * fmp, (colnames=T, rownames=T)
metceExtractor for method
mktceExtractor for market component of return (factor 1)
msceExtractor for components Market+Systematic
msrtceExtractor for components Market, Systematic, Residual, Total
prdcePortfolio risk decomposition
quaceExtractor for score on quadratic component
resceResidual return
sdvceExtractor for standard deviation
spvceExtractor for pecific vol
stceMarket,Systematic,Residual,Total returns, divided by...
sysceExtractor for systematic component of return (factors 2:k)
unqceExtractor for uniqueness
vcvceExtractor for covariance matrix
vfuceConvenience wrapper on vcvce(x)$T -the total covariance...
monkeypicked/aace documentation built on May 22, 2017, 12:08 p.m.