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Tools for denoising covariance and correlation matrices

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Version

Install

install.packages('tawny')

Monthly Downloads

93

Version

2.1.7

License

GPL-3

Last Published

April 20th, 2018

Functions in tawny (2.1.7)

denoise

Remove noise from a correlation matrix using RMT to identify the noise
cov_shrink

Shrink the covariance matrix towards some global mean
optimizePortfolio

Optimize a portfolio using the specified correlation filter
tawny-package

Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization
sp500.subset

A subset of the SP500 with 200 data points
sp500

A (mostly complete) subset of the SP500 with 250 data points
divergence

Measure the divergence and stability between two correlation matrices
getPortfolioReturns

Utility functions for creating portfolios of returns and other functions