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.
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References in zbMATH (referenced in 2 articles )
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- Krampe, Jonas; Kreiss, Jens-Peter; Paparoditis, Efstathios: Bootstrap based inference for sparse high-dimensional time series models (2021)
- Pourahmadi, Mohsen: High-dimensional covariance estimation (2013)