FinCovRegularization
Covariance Matrix Estimation and Regularization for Finance
Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft-thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.
- Version1.1.0
- R versionunknown
- LicenseGPL-2
- Needs compilation?No
- Last release04/25/2016
Team
YaChen Yan
FangZhu Lin
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