Condition Number Regularized Covariance Estimation

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Documentation for package ‘CondReg’ version 0.20

• DESCRIPTION file.
• Code demos. Use demo() to run them.

Help Pages

condreg	Compute the condition number with given penalty parameter
crbulk	Computes multiple solutions
datasnp	Standard & Poors index
kgrid	Return a vector of grid of penalties for cross-validation
ml_solver	Compute shrinkage of eigenvalues for condreg
path_backward	Compute optimal u of Lemma 1 in JRSSB paper using the backward algorithm
path_forward	Compute optimal u of Lemma 1 in JRSSB paper using the forward algorithm
pfweights	Compute optimal portfolio weights
R	Weekly stock price data
select_condreg	Compute the best condition number regularized based based on cross-validation selected penalty parameter
select_kmax	Selection of penalty parameter based on cross-validation
transcost	Compute transaction cost