plot.CovCv

other arguments ignored (for compatibility with generic)


Visualizes the results of covariance matrix regularization parameter tuning


internal

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.

plot.CovCv: plot CovCv object

Description

Usage

Arguments