RTime series modelling
An Exponentially Weighted Covariance Matrix in R
Exponential weighting schemes can help navigate the trade-off between responsiveness and stability of the inherently noisy estimates we make from
An Exponentially Weighted Covariance Matrix in R
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Machine learningRTools of the trade
The Graphical Lasso and its Financial Applications
Way back in November 2007, literally weeks after SPX put in its pre-GFC all-time high, Friedman, Hastie and Tibshirani published