Package: bahc 0.3.0
bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz
A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arxiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arxiv:2005.08703>.
Authors:
bahc_0.3.0.tar.gz
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bahc.pdf |bahc.html✨
bahc/json (API)
NEWS
| # Install 'bahc' in R: |
| install.packages('bahc', repos = c('https://damienchallet.r-universe.dev', 'https://cloud.r-project.org')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 4 years agofrom:5dd6979c08. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 10 2024 |
| R-4.5-win | OK | Nov 10 2024 |
| R-4.5-linux | OK | Nov 10 2024 |
| R-4.4-win | OK | Nov 10 2024 |
| R-4.4-mac | OK | Nov 10 2024 |
| R-4.3-win | OK | Nov 10 2024 |
| R-4.3-mac | OK | Nov 10 2024 |
Exports:filterCorrelationfilterCovariance
Dependencies:fastclustermatrixStats
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Compute the BAHC correlation matrix. | filterCorrelation |
| Compute the BAHC covariance matrix. | filterCovariance |
