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:Christian Bongiorno and Damien Challet

bahc_0.3.0.tar.gz
bahc_0.3.0.zip(r-4.7)bahc_0.3.0.zip(r-4.6)bahc_0.3.0.zip(r-4.5)
bahc_0.3.0.tgz(r-4.6-any)bahc_0.3.0.tgz(r-4.5-any)
bahc_0.3.0.tar.gz(r-4.7-any)bahc_0.3.0.tar.gz(r-4.6-any)
bahc_0.3.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
bahc/json (API)
NEWS

# Install 'bahc' in R:
install.packages('bahc', repos = c('https://damienchallet.r-universe.dev', 'https://cloud.r-project.org'))

On CRAN:

Conda:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 196 downloads 2 exports 2 dependencies

Last updated from:5dd6979c08. Checks:9 OK. Indexed: yes.

TargetResultTimeFilesSyslog
linux-devel-x86_64OK95
source / vignettesOK127
linux-release-x86_64OK100
macos-release-arm64OK87
macos-oldrel-arm64OK66
windows-develOK68
windows-releaseOK59
windows-oldrelOK87
wasm-releaseOK99

Exports:filterCorrelationfilterCovariance

Dependencies:fastclustermatrixStats