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bahc  

Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz
View on CRAN: Click here


Download and install bahc package within the R console
Install from CRAN:
install.packages("bahc")

Install from Github:
library("remotes")
install_github("cran/bahc")

Install by package version:
library("remotes")
install_version("bahc", "0.3.0")



Attach the package and use:
library("bahc")
Maintained by
Damien Challet
[Scholar Profile | Author Map]
First Published: 2020-03-19
Latest Update: 2020-09-21
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) and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) .
How to cite:
Damien Challet (2020). bahc: Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz. R package version 0.3.0, https://cran.r-project.org/web/packages/bahc. Accessed 06 Apr. 2025.
Previous versions and publish date:
0.1.0 (2020-03-19 15:10), 0.2.0 (2020-05-15 10:00)
Other packages that cited bahc R package
View bahc citation profile
Other R packages that bahc depends, imports, suggests or enhances
Complete documentation for bahc
Functions, R codes and Examples using the bahc R package
Some associated functions: filterCorrelation . filterCovariance . 
Some associated R codes: main.R .  Full bahc package functions and examples
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