covFactorModel
Covariance estimator
A package for estimating covariance matrices using factor models in financial data analysis.
Covariance Matrix Estimation via Factor Models
32 stars
1 watching
12 forks
Language: R
last commit: over 5 years ago
Linked from 1 awesome list
covariance-matrixfactor-modelfinancial-datapca
wilsonfreitas/awesome-quantRelated projects:
| Repository | Description | Stars |
|---|---|---|
| dppalomar/sparseeigen | This project provides an R package for estimating sparse eigenvectors of matrices. | 12 |
 rdevito/msfa | A software package implementing Multi-Study Factor Analysis model estimation via both ECM and Bayesian approaches. | 2 |
 alexandrebarachant/covariancetoolbox | A toolbox for estimating and manipulating covariance matrices using Riemannian geometry | 114 |
 pmb59/fccac | A tool for analyzing covariance between sequencing datasets using Canonical Correlation Analysis | 0 |
 shangtai/githubcausalsvm | An R implementation of a machine learning approach to estimate the effect of treatment on individuals | 5 |
 cosmomvpa/cosmomvpa | A toolbox for analyzing patterns in multi-modal and multi-variate data in cognitive neuroscience using Matlab/Octave | 79 |
 dlaptev/robustpca | A Matlab implementation of Robust Principal Component Analysis (PCA) with an ADMM optimization method for matrix factorization. | 196 |
| dppalomar/sparseindextracking | A package for computing sparse portfolios of assets to track an index. | 50 |
 albertoalmuinha/garchmodels | An R package providing a unified framework for modeling and analyzing financial time series data with GARCH models | 34 |
| dppalomar/riskparityportfolio | A tool for designing and optimizing risk parity portfolios using optimization techniques | 107 |
 r-link/corrmorant | A package for visualizing correlation matrices in R using ggplot2 | 63 |
 roronya/causalmodels | Provides a Python package for structural causal modeling of multivariate time series data | 2 |
 juliastats/multivariatestats.jl | A comprehensive Julia package for multivariate statistical analysis and data reduction techniques. | 379 |
 paulvanderlaken/ppsr | A tool for evaluating the relationship between variables and predicting their behavior | 74 |
 pkunlp-icler/pca-eval | An open-source benchmark and evaluation tool for assessing multimodal large language models' performance in embodied decision-making tasks | 100 |