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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

Install

install.packages('BurStFin')

Monthly Downloads

405

Version

1.3

License

Unlimited

Maintainer

Pat Burns

Last Published

April 18th, 2022

Functions in BurStFin (1.3)

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