BurStFin1.3 package

Burns Statistics Financial

alpha.proxy

Compute and Plot Alpha Proxy

factor.model.stat

Estimate Variance Matrix via Statistical Factors

fitted.statfacmodBurSt

Variance Matrix From Statistical Factor Model

partial.rainbow

Create Palette Function for Part of Rainbow

slideWeight

Generate Time Weights Flexiibly

threeDarr

Combine matrices into 3D array

var.add.benchmark

Expand a Variance Matrix to Include a Benchmark

var.relative.benchmark

Transform a Variance Matrix to be Relative to a Benchmark

var.shrink.eqcor

Ledoit-Wolf Shrinkage Variance Estimate

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A suite of functions for finance, including the estimation of variance matrices via a statistical factor model or Ledoit-Wolf shrinkage.