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Tools for denoising covariance and correlation matrices

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Version

Install

install.packages('tawny')

Monthly Downloads

12

Version

2.1.6

License

GPL-3

Maintainer

Brian Lee Yung Rowe

Last Published

July 10th, 2016

Functions in tawny (2.1.6)

tawny-package

Clean Covariance Matrices Using Random Matrix Theory and Shrinkage Estimators for Portfolio Optimization
denoise

Remove noise from a correlation matrix using RMT to identify the noise
sp500.subset

A subset of the SP500 with 200 data points
sp500

A (mostly complete) subset of the SP500 with 250 data points
cov_shrink

Shrink the covariance matrix towards some global mean
divergence

Measure the divergence and stability between two correlation matrices
optimizePortfolio

Optimize a portfolio using the specified correlation filter
getPortfolioReturns

Utility functions for creating portfolios of returns and other functions