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bahc
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]
[Scholar Profile | Author Map]
All associated links for this package
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 29 Apr. 2025.
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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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