bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

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>.

Version: 0.3.0
Depends: R (≥ 3.5.0), fastcluster, matrixStats
Published: 2020-09-21
Author: Christian Bongiorno and Damien Challet
Maintainer: Damien Challet <damien.challet at>
License: GPL-2 | GPL-3 [expanded from: GPL]
NeedsCompilation: no
Materials: NEWS
CRAN checks: bahc results


Reference manual: bahc.pdf
Package source: bahc_0.3.0.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
macOS binaries: r-release: bahc_0.3.0.tgz, r-oldrel: bahc_0.3.0.tgz
Old sources: bahc archive


Please use the canonical form to link to this page.