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Tools for denoising covariance and correlation matrices
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Version
Version
2.1.7
2.1.6
2.1.2
2.1.0
2.0.2
1.2.1
1.1.0
1.0
Install
install.packages('tawny')
Monthly Downloads
93
Version
2.1.7
License
GPL-3
Maintainer
Brian Lee Yung Rowe
Last Published
April 20th, 2018
Functions in tawny (2.1.7)
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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