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
NeedsCompilation: no
Packaged: 2016-04-25 08:52:44 UTC; Administrator
Author: YaChen Yan [aut, cre],
  FangZhu Lin [aut]
Maintainer: YaChen Yan <yanyachen21@gmail.com>
Repository: CRAN
Date/Publication: 2016-04-25 15:32:07
Built: R 4.6.0; ; 2026-04-25 17:15:56 UTC; unix
