FinCovRegularization (version 1.1.0)

StatFactor.Cov: Covariance Matrix Estimation by Statistical Factor Model

Description

Estimate covariance matrix by fitting a statistical factor model using principle components analysis

Usage

StatFactor.Cov(assets, k = 0)

Arguments

assets

a matrix of asset returns

k

numbers of factors, if k = 0, automatically estimating by Kaiser method

Value

an estimated p*p covariance matrix

Examples

data(m.excess.c10sp9003)
assets <- m.excess.c10sp9003[,1:10]
StatFactor.Cov(assets, 3)