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BurStFin (version 1.3)
Burns Statistics Financial
Description
A suite of functions for finance, including the estimation of variance matrices via a statistical factor model or Ledoit-Wolf shrinkage.
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Version
Version
1.3
1.02
1.01
Down Chevron
Install
install.packages('BurStFin')
Monthly Downloads
341
Version
1.3
License
Unlimited
Maintainer
Pat Burns
Last Published
April 18th, 2022
Functions in BurStFin (1.3)
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var.shrink.eqcor
Ledoit-Wolf Shrinkage Variance Estimate
fitted.statfacmodBurSt
Variance Matrix From Statistical Factor Model
partial.rainbow
Create Palette Function for Part of Rainbow
factor.model.stat
Estimate Variance Matrix via Statistical Factors
slideWeight
Generate Time Weights Flexiibly
var.add.benchmark
Expand a Variance Matrix to Include a Benchmark
threeDarr
Combine matrices into 3D array
var.relative.benchmark
Transform a Variance Matrix to be Relative to a Benchmark
alpha.proxy
Compute and Plot Alpha Proxy