Package: BurStFin 1.3
Pat Burns
BurStFin: Burns Statistics Financial
A suite of functions for finance, including the estimation of variance matrices via a statistical factor model or Ledoit-Wolf shrinkage.
Authors:
BurStFin_1.3.tar.gz
BurStFin_1.3.tar.gz(r-4.5-noble)BurStFin_1.3.tar.gz(r-4.4-noble)
BurStFin_1.3.tgz(r-4.4-emscripten)BurStFin_1.3.tgz(r-4.3-emscripten)
BurStFin.pdf |BurStFin.html✨
BurStFin/json (API)
NEWS
| # Install 'BurStFin' in R: |
| install.packages('BurStFin', repos = c('https://cran.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 3 years agofrom:2e17dd02ae. Checks:OK: 2. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 31 2024 |
| R-4.5-linux | OK | Oct 31 2024 |
Exports:alpha.proxyfactor.model.statpartial.rainbowslideWeightthreeDarrvar.add.benchmarkvar.relative.benchmarkvar.shrink.eqcor
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Compute and Plot Alpha Proxy | alpha.proxy |
| Estimate Variance Matrix via Statistical Factors | factor.model.stat |
| Variance Matrix From Statistical Factor Model | fitted.statfacmodBurSt |
| Create Palette Function for Part of Rainbow | partial.rainbow |
| Generate Time Weights Flexiibly | slideWeight |
| Combine matrices into 3D array | threeDarr |
| Expand a Variance Matrix to Include a Benchmark | var.add.benchmark |
| Transform a Variance Matrix to be Relative to a Benchmark | var.relative.benchmark |
| Ledoit-Wolf Shrinkage Variance Estimate | var.shrink.eqcor |