Correlation covariance

Answers both cov and cor with the wrapped estimator's correlation matrix.

Compute the correlation matrix using the underlying estimator.

Compute the correlation matrix using the underlying estimator.

Alias for an abstract matrix of numeric types or JuMP scalar types.

Reads a correlation matrix out of a SampleBufferState, by running the batch verb over the observations the buffer holds.

Generic covariance fallback assembling the covariance matrix from the estimator's correlation matrix and the marginal standard deviations of its variance estimator ce.ve.

Reads a covariance matrix out of a SampleBufferState, by running the batch verb over the observations the buffer holds.

Estimates the covariance matrix of asset returns from a centring estimator, a covariance estimator, and a moment algorithm.

Compute the correlation matrix using a Covariance estimator.

SemiMoment variant of cor(ce::Covariance, X::MatNum; dims::Int = 1, mean = nothing, kwargs...).

Compute the correlation matrix using a GeneralCovariance estimator.

Reads a correlation matrix out of a folded covariance estimator.

Compute the covariance matrix using a Covariance estimator.

SemiMoment variant of cov(ce::Covariance, X::MatNum; dims::Int = 1, mean = nothing, kwargs...).

Compute the covariance matrix using a GeneralCovariance estimator.

Read the covariance matrix of an incremental fit out of a CovarianceState.

Compute the Gerber correlation matrix using the algorithm specified in ce.alg.

Compute the Gerber covariance matrix using the algorithm specified in ce.alg.

Compute the Smyth-Broby correlation matrix.

Compute the Smyth-Broby covariance matrix.

Compute the Gerber IQ correlation matrix.

Compute the Gerber IQ covariance matrix.

Compute the pairwise distance correlation matrix for all columns in a data matrix using a configured DistanceCovariance estimator.

Compute the pairwise distance covariance matrix for all columns in a data matrix using a configured DistanceCovariance estimator.

Compute the lower tail dependence correlation matrix using a LowerTailDependenceCovariance estimator.

Compute the Kendall's tau rank correlation matrix using a KendallCovariance estimator.

Compute the Spearman's rho rank correlation matrix using a SpearmanCovariance estimator.

Compute the mutual information (MI) correlation matrix using a MutualInfoCovariance estimator.

Compute the correlation matrix with post-processing using a PortfolioOptimisersCovariance estimator.

Compute the covariance matrix with post-processing using a PortfolioOptimisersCovariance estimator.

Compute the correlation matrix using implied volatility scaling.

Compute the covariance matrix using implied volatility scaling.

Always throw a MethodError.

Always throw a MethodError.

Compute Statistics.cor over a rolling or indexed observation window (matrix input).

Compute Statistics.cov over a rolling or indexed observation window (matrix input).

Compute the exponentially weighted correlation matrix.

Read the exponentially weighted correlation out of a state the caller holds.

Compute the exponentially weighted covariance matrix.

Read the exponentially weighted covariance out of a state the caller holds.

Compute the regime-adjusted exponentially weighted correlation matrix.

Read the regime-adjusted correlation out of a state held by hand.

Compute the regime-adjusted exponentially weighted covariance matrix.

Read the regime-adjusted covariance out of a state held by hand.