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PortfolioAnalytics (version 2.0.0)

extractCovariance: Covariance Estimate

Description

Extract the covariance matrix estimate from a statistical factor model

Usage

extractCovariance(model, ...)

Value

covariance matrix estimate

Arguments

model

statistical factor model estimated via statistical.factor.model

...

not currently used

Author

Ross Bennett

See Also

statistical.factor.model