Package: FinCovRegularization
Type: Package
Title: Covariance Matrix Estimation and Regularization for Finance
Version: 1.0.0
Authors@R: person("Yachen", "Yan", email = "yanyachen21@gmail.com", role = c("aut", "cre"))
Description: Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, 
    three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical 
    factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, 
    hard-thresholding and soft-thresholding. The tuning parameters of these regularized estimators are selected via 
    cross-validation.
URL: http://github.com/yanyachen/FinCovRegularization
BugReports: http://github.com/yanyachen/FinCovRegularization/issues
Depends: R (>= 2.10)
Imports: quadprog
License: GPL-2
LazyData: true
Packaged: 2015-03-01 08:47:42 UTC; Administrator
Author: Yachen Yan [aut, cre]
Maintainer: Yachen Yan <yanyachen21@gmail.com>
NeedsCompilation: no
Repository: CRAN
Date/Publication: 2015-03-01 08:16:11
Built: R 3.1.3; ; 2015-03-02 13:37:50 UTC; unix
