Package: FinCovRegularization
Type: Package
Title: Covariance Matrix Estimation and Regularization for Finance
Version: 1.1.0
Authors@R: c(
    person("YaChen", "Yan", email = "yanyachen21@gmail.com", role = c("aut", "cre")),
    person("FangZhu", "Lin", email = "fangzhulin522@gmail.com", role = "aut")
    )
Description: 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.
URL: http://github.com/yanyachen/FinCovRegularization
BugReports: http://github.com/yanyachen/FinCovRegularization/issues
Depends: R (>= 2.10)
Imports: stats, graphics, quadprog
License: GPL-2
LazyData: true
RoxygenNote: 5.0.1
Repository: https://yanyachen.r-universe.dev
Date/Publication: 2016-10-02 01:29:08 UTC
RemoteUrl: https://github.com/yanyachen/fincovregularization
RemoteRef: HEAD
RemoteSha: cd3ff5b5d035438ce55c26a40ba3f374087f3b58
NeedsCompilation: no
Packaged: 2026-06-21 07:00:43 UTC; root
Author: YaChen Yan [aut, cre],
  FangZhu Lin [aut]
Maintainer: YaChen Yan <yanyachen21@gmail.com>