Man pages for yanyachen/FinCovRegularization
Covariance Matrix Estimation and Regularization for Finance
| banding | Banding Opreator on Covariance Matrix |
| banding.cv | Select Tuning Parameter for Banding Covariance Matrix by CV |
| FinCovRegularization | FinCovRegularization: Covariance Matrix Estimation and... |
| F.norm2 | The Squared Frobenius Norm |
| FundamentalFactor.Cov | Covariance Matrix Estimation by Fundamental Factor Model |
| GMVP | Global Minimum Variance Portfolio |
| hard.thresholding | Hard-Thresholding Opreator on Covariance Matrix |
| Ind.Cov | Independence opreator on Covariance Matrix |
| MacroFactor.Cov | Covariance Matrix Estimation by Macroeconomic Factor Model |
| m.excess.c10sp9003 | 10 stock and S&P 500 excess returns |
| O.norm2 | The Squared Operator Norm |
| plot.CovCv | plot CovCv object |
| print.CovCv | print CovCv object |
| RiskParity | Risk Parity Portfolio |
| soft.thresholding | Soft-Thresholding Opreator on Covariance Matrix |
| StatFactor.Cov | Covariance Matrix Estimation by Statistical Factor Model |
| summary.CovCv | Display a useful description of a CovCv object |
| tapering | Tapering Opreator on Covariance Matrix |
| tapering.cv | Select Tuning Parameter for Tapering Covariance Matrix by CV |
| threshold.cv | Select Tuning Parameter for Thresholding Covariance Matrix by... |
| threshold.min | Minimum threshold constant |
