filteredCorMat: Function used to filter the covariance matrix of a series of...
In zlfccnu/econophysics: Functions for econophysics
Description
Usage
Arguments
Value
References
View source: R/filteredCorMat.R
Description
Function used to filter the covariance matrix of a series of return time series
Usage
1
filteredCorMat(returns)
Arguments
returns
the return matrix
Value
a list with four matrices: original,market,structure and random
References
Random matrix approach to cross correlations in financial data
zlfccnu/econophysics documentation built on Feb. 23, 2022, 10:22 p.m.
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Description Usage Arguments Value References
View source: R/filteredCorMat.R
Description
Function used to filter the covariance matrix of a series of return time series
Usage
1 | filteredCorMat(returns)
|
Arguments
returns |
the return matrix |
Value
a list with four matrices: original,market,structure and random
References
Random matrix approach to cross correlations in financial data
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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