| Name : R-FinCovRegularization
| |
| Version : 1.1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.2.13
| Date : 2024-06-14 11:01:50
|
| Group : Development/Libraries/Other
| Source RPM : R-FinCovRegularization-1.1.0-lp153.2.13.src.rpm
|
| Size : 0.08 MB
| |
| Packager : (none)
| |
| Summary : Covariance Matrix Estimation and Regularization for Finance
|
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.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
