lwShrink: Ledoit-Wolf shrinkage covariance estimate
In fincov: Methods for estimating covariance matrices
Description
Usage
Arguments
Value
Note
Author(s)
References
Description
Compute the covariance matrix estimate using the
Ledoit-Wolf shrinkage estimate
Usage
1
Arguments
x
xts or matrix of asset returns
shrink
shrinkage constant
Value
covariance matrix estimate
Note
Ported to R from matlab code given at
http://www.econ.uzh.ch/faculty/wolf/publications.html#9
Author(s)
Ross Bennett
References
TODO
fincov documentation built on May 2, 2019, 5:17 p.m.
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Description Usage Arguments Value Note Author(s) References
Description
Compute the covariance matrix estimate using the Ledoit-Wolf shrinkage estimate
Usage
1 |
Arguments
x |
xts or matrix of asset returns |
shrink |
shrinkage constant |
Value
covariance matrix estimate
Note
Ported to R from matlab code given at http://www.econ.uzh.ch/faculty/wolf/publications.html#9
Author(s)
Ross Bennett
References
TODO
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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