Package: bahc
Type: Package
Title: Filter Covariance and Correlation Matrices with
        Bootstrapped-Averaged Hierarchical Ansatz
Version: 0.3.0
Date: 2020-09-21
Author: Christian Bongiorno and Damien Challet
Maintainer: Damien Challet <damien.challet@gmail.com>
Description: 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>.
License: GPL
Depends: R (>= 3.5.0), fastcluster, matrixStats
Encoding: UTF-8
RoxygenNote: 7.1.0
NeedsCompilation: no
Packaged: 2026-09-23 06:27:24 UTC; root
Repository: https://damienchallet.r-universe.dev
Date/Publication: 2020-09-21 15:40:02 UTC
RemoteUrl: https://github.com/cran/bahc
RemoteRef: HEAD
RemoteSha: 5dd6979c08383f1bb7a5482821a9b3d50e92f213