Package tech.nmfin.meanreversion.daspremont2008
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Interface Summary Interface Description ExtremalGeneralizedEigenvalueSolver -
Class Summary Class Description AhatEstimation Estimates the coefficient of a VAR(1) model by penalized maximum likelihood.CovarianceEstimation Estimates the covariance matrix by maximum likelihood.ExtremalGeneralizedEigenvalueByGreedySearch Solves \[ \min_x \frac{x'Ax}{x'Bx} \\ \textup{s.t.,} \mathbf{Card}(x) \leqslant k, \left \| x \right \| = 1 \]ExtremalGeneralizedEigenvalueBySDP Solves the problem described in Section 3.2, d'Aspremont (2008).IndependentCoVAR This algorithm finds the independent variables based on the covariance matrix.