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CondReg (version 0.20)

Condition Number Regularized Covariance Estimation

Description

Based on \url{http://statistics.stanford.edu/~ckirby/techreports/GEN/2012/2012-10.pdf}

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Version

Install

install.packages('CondReg')

Monthly Downloads

32

Version

0.20

License

GPL-3

Maintainer

SangYun Oh

Last Published

July 10th, 2014

Functions in CondReg (0.20)

condreg

Compute the condition number with given penalty parameter
path_forward

Compute optimal u of Lemma 1 in JRSSB paper using the forward algorithm
kgrid

Return a vector of grid of penalties for cross-validation
path_backward

Compute optimal u of Lemma 1 in JRSSB paper using the backward algorithm
ml_solver

Compute shrinkage of eigenvalues for condreg
select_condreg

Compute the best condition number regularized based based on cross-validation selected penalty parameter
datasnp

Standard & Poors index
crbulk

Computes multiple solutions
pfweights

Compute optimal portfolio weights
transcost

Compute transaction cost
R

Weekly stock price data
select_kmax

Selection of penalty parameter based on cross-validation