R: Covariance Matrix Estimation and Regularization for Finance

# Covariance Matrix Estimation and Regularization for Finance

## Documentation for package ‘FinCovRegularization’ version 1.1.0

- DESCRIPTION file

## Help Pages

FinCovRegularization-package | FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
banding | Banding Opreator on Covariance Matrix
banding.cv | Select Tuning Parameter for Banding Covariance Matrix by CV
F.norm2 | The Squared Frobenius Norm
FinCovRegularization | FinCovRegularization: Covariance Matrix Estimation and Regularization for Finance
FundamentalFactor.Cov | Covariance Matrix Estimation by Fundamental Factor Model
GMVP | Global Minimum Variance Portfolio
hard.thresholding | Hard-Thresholding Opreator on Covariance Matrix
Ind.Cov | Independence opreator on Covariance Matrix
m.excess.c10sp9003 | 10 stock and S&P 500 excess returns
MacroFactor.Cov | Covariance Matrix Estimation by Macroeconomic Factor Model
O.norm2 | The Squared Operator Norm
RiskParity | Risk Parity Portfolio
soft.thresholding | Soft-Thresholding Opreator on Covariance Matrix
StatFactor.Cov | Covariance Matrix Estimation by Statistical Factor Model
tapering | Tapering Opreator on Covariance Matrix
tapering.cv | Select Tuning Parameter for Tapering Covariance Matrix by CV
threshold.cv | Select Tuning Parameter for Thresholding Covariance Matrix by CV