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POET (version 2.0)
Principal Orthogonal ComplEment Thresholding (POET) Method
Description
Estimate large covariance matrices in approximate factor models by thresholding principal orthogonal complements.
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Version
Version
2.0
Install
install.packages('POET')
Monthly Downloads
148
Version
2.0
License
GPL-2
Maintainer
Martina Mincheva
Last Published
June 29th, 2016
Functions in POET (2.0)
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POET
Principal Orthogonal ComplEment Thresholding (POET) method
POETKhat
Khat - number of factors in approximate factor model
POETCmin
Cmin - Minimum threshold constant