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) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.
| Version: | 0.3.0 |
| Depends: | R (≥ 3.5.0), fastcluster, matrixStats |
| Published: | 2020-09-21 |
| Author: | Christian Bongiorno and Damien Challet |
| Maintainer: | Damien Challet <damien.challet at gmail.com> |
| License: | GPL-2 | GPL-3 [expanded from: GPL] |
| NeedsCompilation: | no |
| Materials: | NEWS |
| CRAN checks: | bahc results |
| Reference manual: | bahc.pdf |
| Package source: | bahc_0.3.0.tar.gz |
| Windows binaries: | r-devel: bahc_0.3.0.zip, r-release: bahc_0.3.0.zip, r-oldrel: bahc_0.3.0.zip |
| macOS binaries: | r-release: bahc_0.3.0.tgz, r-oldrel: bahc_0.3.0.tgz |
| Old sources: | bahc archive |
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