README.md

CMEtest v0.1

Architecture

General Architecture: Prototype
Methods: A few
Documentation: nil
Vignettes: 1
Bridge to ReturnAnalytics: PortfolioAnalytics only

Statistical Methods

Smoothing:

Boudt: Implemented
EWMA: Not Implemented

Covariance Estimation

Classical

MLE: Implemented

Robust

Affine Equivariant

Minimum Covariance Determinant

fast: Implemented
weighted: Implemented

Projection method

Donoho-Stahel: Implemented

M estimator

Rocke: Implemented

Pairwise

OQC: Implemented
GK: Implemented

EWMA:

Classical: Not Implemented

Robust: Not Implemented

Covariance Shrinking:

Linear:

LW: Not implemented

Non-Linear:

Fixed-Rank: Not Implemented
Proportional-Rank: Not Implemented

Filtering

Random Matrix theory: Implemented
Analogical Estimator: Implemented
Minimimum Deviance Estimator: Implemented

Unequal data protocols:

Facor Model Monte Carlo: Not implemented
Staumbaugh: Not implemented
Robust Staumbaugh: Not Implemented

Additional statistical tools:

Mahalanobis: Not implemented
Matrix correlation test: Not Implemented