Methods for estimating covariance matrices

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Documentation for package ‘fincov’ version 0.1

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covariance-package Methods to estimate covariance matrices
cleanedSeries Exponential Smoothing Robust Cleaned Series
covariance Methods to estimate covariance matrices
covEstimate Estimate covariance matrix
detectOutliers Outlier Detection
ExponentialSmoothing Exponential Smoothing Constructor
forecastSeries Exponential Smoothing Forecast
jsShrink James-Stein type shrinkage estimate of covariance matrix
lwShrink Ledoit-Wolf shrinkage covariance estimate
objLambdaClassic Objective function to find optimal smoothing matrix using classic methods
objLambdaRobust Objective function to find optimal smoothing matrix using robust methods
scaleEstimate Robust local estimate of scale
smoothedSeries Exponential Smoothing Smoothed Values
smoothedValuesRobust Smoothed Values
solveLambda Solve for the optimal smoothing matrix