Covariance Matrix Estimation


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Documentation for package ‘covmat’ version 1.0

Help Pages

compareCov This is a utility function to compare two covariance matrices
dow30data Symbol Data
estRMT Denoising of Covariance matrix using Random Matrix Theory
estSpikedCovariance (Donoho, Gavish, and Johnstone, 2013)
etfdata Symbol Data
factor.data Factor Data
isdccfit Fit an Independent Regime Switching Model
missingdata Symbol Data
plot.isdcc Implied State plot
plot.RMT Eigenvalue plot
plotmissing Plot data to visualize missing values
plotSpikedCovariance Eigenvalue plot. Similar to figure 1 in the paper
rmtdata Simulated data for Spiked Covarianve Model
robustMultExpSmoothing Robust Multivariate Exponential Smoothing
smoothing.matrix Optimal Smoothing Matrix