bahc
Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz
v0.3.0
·
Sep 21, 2020
·
GPL
Description
A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.
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5
NOTE
9
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Show all 14 flavors
| Flavor | Status |
|---|---|
| r-devel-linux-x86_64-debian-clang | NOTE |
| r-devel-linux-x86_64-debian-gcc | NOTE |
| r-devel-linux-x86_64-fedora-clang | OK |
| r-devel-linux-x86_64-fedora-gcc | OK |
| r-devel-macos-arm64 | OK |
| r-devel-windows-x86_64 | OK |
| r-oldrel-macos-arm64 | NOTE |
| r-oldrel-macos-x86_64 | NOTE |
| r-oldrel-windows-x86_64 | NOTE |
| r-patched-linux-x86_64 | OK |
| r-release-linux-x86_64 | OK |
| r-release-macos-arm64 | OK |
| r-release-macos-x86_64 | OK |
| r-release-windows-x86_64 | OK |
Check details (5 non-OK)
NOTE
r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Damien Challet <damien.challet@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Christian",
family = "Bongiorno",
role = "aut"),
person(given = "Damien",
family = "Challet",
role = c("aut", "cre"),
email = "damien.challet@gmail.com"))
as necessary.
The Description field contains
hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet,
cleaning (2020) <arXiv:2005.08703>.
Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Damien Challet <damien.challet@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Christian",
family = "Bongiorno",
role = "aut"),
person(given = "Damien",
family = "Challet",
role = c("aut", "cre"),
email = "damien.challet@gmail.com"))
as necessary.
The Description field contains
hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet,
cleaning (2020) <arXiv:2005.08703>.
Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-oldrel-macos-arm64
LazyData
'LazyData' is specified without a 'data' directory
NOTE
r-oldrel-macos-x86_64
LazyData
'LazyData' is specified without a 'data' directory
NOTE
r-oldrel-windows-x86_64
LazyData
'LazyData' is specified without a 'data' directory
Check History
NOTE 9 OK · 5 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 10, 2026
NOTE
r-devel-linux-x86_64-debian-clang
CRAN incoming feasibility
Maintainer: ‘Damien Challet <damien.challet@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Christian",
family = "Bongiorno",
role = "aut"),
...[truncated]...
l.com"))
as necessary.
The Description field contains
hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet,
cleaning (2020) <arXiv:2005.08703>.
Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-devel-linux-x86_64-debian-gcc
CRAN incoming feasibility
Maintainer: ‘Damien Challet <damien.challet@gmail.com>’
No Authors@R field in DESCRIPTION.
Please add one, modifying
Authors@R: c(person(given = "Christian",
family = "Bongiorno",
role = "aut"),
...[truncated]...
l.com"))
as necessary.
The Description field contains
hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet,
cleaning (2020) <arXiv:2005.08703>.
Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.
NOTE
r-oldrel-macos-arm64
LazyData
'LazyData' is specified without a 'data' directory
NOTE
r-oldrel-macos-x86_64
LazyData
'LazyData' is specified without a 'data' directory
NOTE
r-oldrel-windows-x86_64
LazyData
'LazyData' is specified without a 'data' directory