CRAN/E | bahc

bahc

Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

Installation

About

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) and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) .

Key Metrics

Version 0.3.0
R ≥ 3.5.0
Published 2020-09-21 1323 days ago
Needs compilation? no
License GPL-2
License GPL-3
CRAN checks bahc results

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Maintainer

Maintainer

Damien Challet

damien.challet@gmail.com

Authors

Christian Bongiorno
Damien Challet

Material

NEWS
Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

bahc archive

Depends

R ≥ 3.5.0
fastcluster
matrixStats