fincov: Methods for estimating covariance matrices

More about what it does (maybe more than one line)

Author
Ross Bennett
Date of publication
2014-03-14 15:12:02
Maintainer
Ross Bennett <rossbennett34@gmail.com>
License
What license is it under?
Version
0.1

View on R-Forge

Man pages

cleanedSeries
Exponential Smoothing Robust Cleaned Series
covariance-package
Methods to estimate covariance matrices
covEstimate
Estimate covariance matrix
detectOutliers
Outlier Detection
ExponentialSmoothing
Exponential Smoothing Constructor
forecastSeries
Exponential Smoothing Forecast
jsShrink
James-Stein type shrinkage estimate of covariance matrix
lwShrink
Ledoit-Wolf shrinkage covariance estimate
objLambdaClassic
Objective function to find optimal smoothing matrix using...
objLambdaRobust
Objective function to find optimal smoothing matrix using...
scaleEstimate
Robust local estimate of scale
smoothedSeries
Exponential Smoothing Smoothed Values
smoothedValuesRobust
Smoothed Values
solveLambda
Solve for the optimal smoothing matrix

Files in this package

fincov/DESCRIPTION
fincov/NAMESPACE
fincov/R
fincov/R/cov_estimate.R
fincov/R/exponential_smoothing.R
fincov/R/outlier.R
fincov/R/shrinkage.R
fincov/R/utils.R
fincov/man
fincov/man/ExponentialSmoothing.Rd
fincov/man/cleanedSeries.Rd
fincov/man/covEstimate.Rd
fincov/man/covariance-package.Rd
fincov/man/detectOutliers.Rd
fincov/man/forecastSeries.Rd
fincov/man/jsShrink.Rd
fincov/man/lwShrink.Rd
fincov/man/objLambdaClassic.Rd
fincov/man/objLambdaRobust.Rd
fincov/man/scaleEstimate.Rd
fincov/man/smoothedSeries.Rd
fincov/man/smoothedValuesRobust.Rd
fincov/man/solveLambda.Rd
fincov/sandbox
fincov/sandbox/ewma.R
fincov/sandbox/lwshrink.R
fincov/sandbox/mcd_regression.pdf
fincov/sandbox/test_ewma.R
fincov/sandbox/test_ewma1.R
fincov/sandbox/test_exp_smoothing.R
fincov/sandbox/test_outliers.R
fincov/sandbox/test_rrcov.R
fincov/sandbox/test_shrinkage.R