StatFactor.Cov: Covariance Matrix Estimation by Statistical Factor Model

In yanyachen/FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance

Description

Estimate covariance matrix by fitting a statistical factor model using principle components analysis

Usage

StatFactor.Cov(assets, k = 0)

Arguments

assets	a matrix of asset returns
k	numbers of factors, if k = 0, automatically estimating by Kaiser method

Value

an estimated p*p covariance matrix

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
StatFactor.Cov(assets, 3)

yanyachen/FinCovRegularization documentation built on May 4, 2019, 2:30 p.m.