aace-package: Covariance Estimation
In monkeypicked/aace: Covariance estimation
Description
Covariance estimation using modified PCA, based on BurStFin
Recap of the factor model:
R n x 1 returns;
a n x 1 intercept;
B n x m loading;
G n x m 'factor-mimicking portfolios';
f m x 1 factor score;
S n x n covariance of R;
R = a + B.f + e (1)
E[f.f'] = I(m) orthonormal factors;
E[e.e'] = psi specific risk (diagonal)
S = B.B' + psi (2)
f = R.G (3)
The function fms2 estimates B,G; returns a list which is informally of class ce.
The remaining functions are accessors.
Details
Package: aace
Type: Package
Version: 1.0
Date: 2013-04-16
License: \GPL (>=2)
Author(s)
Giles Heywood
Maintainer: gilesheywood at gmail.com
monkeypicked/aace documentation built on May 23, 2019, 6:10 a.m.
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Description
Covariance estimation using modified PCA, based on BurStFin
Recap of the factor model:
R n x 1 returns; a n x 1 intercept; B n x m loading; G n x m 'factor-mimicking portfolios'; f m x 1 factor score; S n x n covariance of R;
R = a + B.f + e (1)
E[f.f'] = I(m) orthonormal factors; E[e.e'] = psi specific risk (diagonal)
S = B.B' + psi (2)
f = R.G (3)
The function fms2 estimates B,G; returns a list which is informally of class ce.
The remaining functions are accessors.
Details
| Package: | aace |
| Type: | Package |
| Version: | 1.0 |
| Date: | 2013-04-16 |
| License: \GPL (>=2) | |
Author(s)
Giles Heywood
Maintainer: gilesheywood at gmail.com
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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