FinCovRegularization

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Covariance Matrix Estimation and Regularization for Finance

Fangzhu Lin, Yachen Yan

Last update: 25 April 2016

Copyright license: GNU General Public License, version 2.0

Software version identifier: 1.1.0

Official website: https://cran.r-project.org/web/packages/FinCovRegularization/index.html

Source code repository: https://github.com/cran/FinCovRegularization

Cited In (5)

• bspcov
• Bootstrap based inference for sparse high-dimensional time series models
• High-dimensional covariance estimation
• PDSCE
• Structural inference in sparse high-dimensional vector autoregressions

This page was built for software: FinCovRegularization