DESCRIPTION

Package: covFactorModel
Title: Covariance Matrix Estimation via Factor Models
Version: 0.1.0
Description: Estimation of covariance matrix via factor models with application
    to financial data. Factor models decompose the asset returns into an 
    exposure term to some factors and a residual idiosyncratic component. The 
    resulting covariance matrix contains a low-rank term corresponding to the 
    factors and another full-rank term corresponding to the residual component. 
    This package provides a function to separate the data into the factor 
    component and residual component, as well as to estimate the corresponding 
    covariance matrix. Different kind of factor models are considered, namely, 
    macroeconomic factor models and statistical factor models. The estimation
    of the covariance matrix accepts different kinds of structure on the 
    residual term: diagonal structure (implying that residual component is 
    uncorrelated) and block diagonal structure (allowing correlation within 
    sectors). The package includes a built-in database containing stock symbols
    and their sectors.
Authors@R: c(
  person("Rui", "ZHOU", role =  "aut", email = "rzhouae@connect.ust.hk"),
  person(c("Daniel", "P."), "Palomar", role = c("cre", "aut"), email = "daniel.p.palomar@gmail.com")
  )
Maintainer: Daniel P. Palomar <daniel.p.palomar@gmail.com>
URL: https://github.com/dppalomar/covFactorModel
BugReports: https://github.com/dppalomar/covFactorModel/issues
Depends: R (>= 3.4.0)
License: GPL-3 | file LICENSE
Encoding: UTF-8
LazyData: true
Imports: xts
RoxygenNote: 6.0.1
Suggests:
    MASS,
    knitr,
    rmarkdown,
    testthat
VignetteBuilder: 
    knitr,
    bookdown,
    prettydoc