Detone

PortfolioOptimisers.Detone — Type
struct Detone{T1} <: AbstractDetoneEstimator
    n::T1
end

A concrete detoning estimator for removing the top n principal components (market modes) from a covariance or correlation matrix.

Fields

  • n: Number of leading principal components to remove.

Constructor

Detone(; n::Integer = 1)

Keyword arguments correspond to the fields above.

Validation

  • n > 0.

Examples

julia> dt = Detone(; n = 2)
Detone
  n | Int64: 2

Related

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PortfolioOptimisers.detone! — Function
detone!(dt::Detone, X::AbstractMatrix; pdm::Union{Nothing, <:Posdef} = Posdef())
detone!(::Nothing, args...)

In-place removal of the top n principal components (market modes) from a covariance or correlation matrix.

For covariance matrices, the function internally converts to a correlation matrix, applies the algorithm, and then rescales back to covariance.

Arguments

  • dt: The estimator specifying the detoning algorithm.

    • dt::Detone: The top n principal components are removed from X in-place.
    • dt::Nothing: No-op and returns nothing.

  • X: The covariance or correlation matrix to be detoned (modified in-place).

  • pdm: Optional Positive definite matrix estimator. If provided, ensures the output is positive definite.

Returns

  • nothing. The input matrix X is modified in-place.

Validation

  • 1 <= dt.n <= size(X, 2).

Examples

julia> using StableRNGs

julia> rng = StableRNG(123456789);

julia> X = rand(rng, 10, 5);

julia> X = X' * X
5×5 Matrix{Float64}:
 3.29494  2.0765   1.73334  2.01524  1.77493
 2.0765   2.46967  1.39953  1.97242  2.07886
 1.73334  1.39953  1.90712  1.17071  1.30459
 2.01524  1.97242  1.17071  2.24818  1.87091
 1.77493  2.07886  1.30459  1.87091  2.44414

julia> detone!(Detone(), X)

julia> X
5×5 Matrix{Float64}:
  3.29494    -1.14673     0.0868439  -0.502106   -1.71581
 -1.14673     2.46967    -0.876289   -0.0864304   0.274663
  0.0868439  -0.876289    1.90712    -1.18851    -0.750345
 -0.502106   -0.0864304  -1.18851     2.24818    -0.0774753
 -1.71581     0.274663   -0.750345   -0.0774753   2.44414

Related

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PortfolioOptimisers.AbstractDetoneEstimator — Type

abstract type AbstractDetoneEstimator <: AbstractEstimator end

Abstract supertype for all detoning estimators in PortfolioOptimisers.jl.

All concrete types representing detoning estimators (such as Detone) should subtype AbstractDetoneEstimator. This enables a consistent interface for detoning routines and downstream analysis.

Related

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