PortfolioOptimisers.jl

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Detone covariance ​

PortfolioOptimisers.DetoneCovariance Type
julia
struct DetoneCovariance{T1, T2, T3} <: AbstractCovarianceEstimator
    ce::T1
    detone::T2
    pdm::T3
end

A covariance estimator that applies a detoning algorithm and positive definite projection to the output of another covariance estimator. This type enables robust estimation of covariance matrices by first computing a base covariance, then applying detoning and positive definiteness corrections in sequence.

Fields

  • ce: The underlying covariance estimator to be detoned.

  • detone: The detoning algorithm to apply to the covariance matrix.

  • pdm: The positive definite matrix projection method.

Constructors

julia
DetoneCovariance(; ce::AbstractCovarianceEstimator = Covariance(),
                 detone::Detone = Detone(), pdm::Option{<:Posdef} = Posdef())

Keyword arguments correspond to the fields above.

Examples

julia
julia> DetoneCovariance()
DetoneCovariance
      ce ┼ Covariance
         │    me ┼ SimpleExpectedReturns
         │       │   w ┴ nothing
         │    ce ┼ GeneralCovariance
         │       │   ce ┼ StatsBase.SimpleCovariance: StatsBase.SimpleCovariance(true)
         │       │    w ┴ nothing
         │   alg ┴ Full()
  detone ┼ Detone
         │     n ┼ Int64: 1
         │   pdm ┼ Posdef
         │       │      alg ┼ UnionAll: NearestCorrelationMatrix.Newton
         │       │   kwargs ┴ @NamedTuple{}: NamedTuple()
     pdm ┼ Posdef
         │      alg ┼ UnionAll: NearestCorrelationMatrix.Newton
         │   kwargs ┴ @NamedTuple{}: NamedTuple()

Related

source
Statistics.cov Method
julia
cov(ce::DetoneCovariance, X::MatNum; dims = 1, kwargs...)

Compute the detoned and positive definite projected covariance matrix for the data matrix X using the specified DetoneCovariance estimator.

Arguments

  • ce: The DetoneCovariance estimator specifying the base covariance estimator, detoning algorithm, and positive definite projection.

  • X: The data matrix (observations × assets).

  • dims: The dimension along which to compute the covariance.

  • kwargs...: Additional keyword arguments passed to the underlying covariance estimator.

Returns

  • sigma::MatNum: detoned covariance matrix.

Validation

  • dims in (1, 2).

Details

  • Computes the covariance matrix using the base estimator in ce.

  • Transposes X if dims == 2 to ensure variables are in columns.

  • Ensures the covariance matrix is mutable.

  • Applies positive definite projection using the method in ce.pdm.

  • Applies the detoning algorithm in ce.detone.

  • Returns the processed covariance matrix.

Related

source
Statistics.cor Method
julia
cor(ce::DetoneCovariance, X::MatNum; dims = 1, kwargs...)

Compute the detoned and positive definite projected correlation matrix for the data matrix X using the specified DetoneCovariance estimator.

Arguments

  • ce: The DetoneCovariance estimator specifying the base covariance estimator, detoning algorithm, and positive definite projection.

  • X: The data matrix (observations × assets).

  • dims: The dimension along which to compute the correlation.

  • kwargs...: Additional keyword arguments passed to the underlying correlation estimator.

Returns

  • rho::MatNum: detoned correlation matrix.

Validation

  • dims in (1, 2).

Details

  • Computes the correlation matrix using the base estimator in ce.

  • Transposes X if dims == 2 to ensure variables are in columns.

  • Ensures the correlation matrix is mutable.

  • Applies positive definite projection using the method in ce.pdm.

  • Applies the detoning algorithm in ce.detone.

  • Returns the processed correlation matrix.

Related

source