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FinCovRegularization - MaRDI portal

FinCovRegularization

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Software:26753

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swMATH14857CRANFinCovRegularizationMaRDI QIDQ26753

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

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

Related Items (4)

bspcov ⋮ High‐Dimensional Covariance Estimation ⋮ Structural inference in sparse high-dimensional vector autoregressions ⋮ Bootstrap based inference for sparse high-dimensional time series models

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