Package: bahc
Type: Package
Title: Filter Covariance and Correlation Matrices with
        Bootstrapped-Averaged Hierarchical Ansatz
Version: 0.3.0
Date: 2020-09-21
Author: Christian Bongiorno and Damien Challet
Maintainer: Damien Challet <damien.challet@gmail.com>
Description: A method to filter correlation and covariance matrices by averaging
     bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet,
     Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and
     Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning
     (2020) <arXiv:2005.08703>.
License: GPL
Depends: R (>= 3.5.0), fastcluster, matrixStats
Encoding: UTF-8
LazyData: true
RoxygenNote: 7.1.0
NeedsCompilation: no
Packaged: 2020-09-21 15:57:33 UTC; damien
Repository: CRAN
Date/Publication: 2020-09-21 16:40:02 UTC
Built: R 4.6.0; ; 2026-04-25 16:45:44 UTC; unix
