Ind.Cov: Independence opreator on Covariance Matrix
In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
Description
Usage
Arguments
Value
Examples
Description
Apply independence model on a covariance matrix.
Usage
1
Arguments
sigma
a covariance matrix
Value
a regularized covariance matrix after applying independence model
Examples
1
2
3
data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
Ind.Cov(cov.SAM)
yanyachen/FinCovRegularization documentation built on May 4, 2019, 2:30 p.m.
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Description Usage Arguments Value Examples
Description
Apply independence model on a covariance matrix.
Usage
1 |
Arguments
sigma |
a covariance matrix |
Value
a regularized covariance matrix after applying independence model
Examples
1 2 3 | data(m.excess.c10sp9003)
cov.SAM <- cov(m.excess.c10sp9003)
Ind.Cov(cov.SAM)
|
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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