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DESCRIPTION
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DESCRIPTION
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Package: FinCovRegularization
Type: Package
Title: Covariance Matrix Estimation and Regularization for Finance
Version: 1.1.0
Authors@R: c(
person("YaChen", "Yan", email = "yanyachen21@gmail.com", role = c("aut", "cre")),
person("FangZhu", "Lin", email = "fangzhulin522@gmail.com", role = "aut")
)
Description: 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.
URL: http://github.com/yanyachen/FinCovRegularization
BugReports: http://github.com/yanyachen/FinCovRegularization/issues
Depends:
R (>= 2.10)
Imports:
stats,
graphics,
quadprog
License: GPL-2
LazyData: true
RoxygenNote: 5.0.1