This largely consists of functions that have
been split off from the commercial software.
The functionality includes:
* estimation of a variance matrix as a statistical
factor model (missing values are allowed -- even
all missing for some assets).
* estimation of a variance matrix by shrinking to
the equal correlation matrix (Ledoit-Wolf). This
also allows missing values.
* Add a benchmark to a variance matrix
* Transform a variance matrix to be relative to a
The 'tawny' package also has a function to estimate
the shrinkage variance. There is a slight difference
in the estimated shrinkage. I have circumstantial
evidence that the BurStFin function is what Ledoit-Wolf
does, but it would be nice if someone spent the time
to sort that out.
For those looking for research topics, the help files
for the two variance estimation functions have some
questions that we don't seem to know the answers to.
BurStFin will eventually, at the appropriate juncture,
in due course, in the fullness of time, at the end of
the day appear on CRAN.
Caution: if you have R version 2.10.0, you
need to update to 2.10.1 in order to have
the repository work.
Windows binary and source are available, but MacOS is
not. However, all the code is R code -- there is no
C or Fortran.