FinCovRegularization
Covariance Matrix Estimation and Regularization for Finance
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.
Versions across snapshots
| Version | Repository | File | Size |
|---|---|---|---|
1.1.0 |
rolling linux/jammy R-4.5 | FinCovRegularization_1.1.0.tar.gz |
78.4 KiB |
1.1.0 |
rolling linux/noble R-4.5 | FinCovRegularization_1.1.0.tar.gz |
78.1 KiB |
1.1.0 |
rolling source/ R- | FinCovRegularization_1.1.0.tar.gz |
24.5 KiB |
1.1.0 |
latest linux/jammy R-4.5 | FinCovRegularization_1.1.0.tar.gz |
78.4 KiB |
1.1.0 |
latest linux/noble R-4.5 | FinCovRegularization_1.1.0.tar.gz |
78.1 KiB |
1.1.0 |
latest source/ R- | FinCovRegularization_1.1.0.tar.gz |
24.5 KiB |
1.1.0 |
2026-04-26 source/ R- | FinCovRegularization_1.1.0.tar.gz |
24.5 KiB |
1.1.0 |
2026-04-23 source/ R- | FinCovRegularization_1.1.0.tar.gz |
24.5 KiB |
1.1.0 |
2026-04-09 windows/windows R-4.5 | FinCovRegularization_1.1.0.zip |
82.4 KiB |
1.1.0 |
2025-04-20 source/ R- | FinCovRegularization_1.1.0.tar.gz |
24.5 KiB |