All Questions
Tagged with covariance-estimation pca
5
questions
4
votes
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answers
122
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Implementing Hierarchical PCA for financial time series in R
I would like to implement the method "Hierarchical PCA", as described in the following paper and compare it to a "standard" PCA. I like to do this in R
AVELLANEDA, Marco. ...
- 61
0
votes
1
answer
685
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Portfolio Optimisation/Covariance Estimation on a large scale
When using Markowitz Portfolio Theory, e.g. for finding an optimal portfolio composition, one needs to have estimates of the returns, but most importantly of the covariance matrix. If our universe of ...
- 1,052
3
votes
0
answers
126
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What is special about covariance estimation from statistical factor models?
If you were to compare the usual sample covariance estimate to a robust covariance estimate (such as MCD), you can say that the robust estimate is more tolerant to outliers in the data and will not be ...
- 191
9
votes
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answers
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Explanation or implementation of Ledoit-Wolf estimator (without math packages)
I have calculated weights of selected assets in a market-neutral portfolio (presumably with min variance) using PCA and simple data covariance matrix.
The question is :
It is obvious that Cov Matrix ...
- 415
0
votes
1
answer
2k
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Step-by-Step PCA algorithm (checking correctness without math packages)
I would appreciate if someone could correct me if i am wrong in my suggestion.
I am using PCA to :
find measure of cointegration between selected assets
find the eigenvector and its portfolio with ...
- 415