FinCovRegularization

1.1.0

Covariance Matrix Estimation and Regularization for Finance

1packages depend

2.7Kdownloads / year

–test coverage

12/13checks pass

Overview

About

Maintained by YaChen YanFirst published 2015-03-012 releasesCRAN page ↗GitHub ↗

Estimation and regularization for covariance matrix of asset returns. For covariance matrix estimation, three major types of factor models are included: macroeconomic factor model, fundamental factor model and statistical factor model. For covariance matrix regularization, four regularized estimators are included: banding, tapering, hard-thresholding and soft- thresholding. The tuning parameters of these regularized estimators are selected via cross-validation.

Install

R (CRAN)pak (dev)Ubuntu (r2u)Fedora (COPR)openSUSE (OBS)

install.packages("FinCovRegularization", repos = "https://cloud.r-project.org/")

Installs the current CRAN release. Prebuilt binaries on Windows and macOS.

if (!requireNamespace("pak", quietly = TRUE))
  install.packages("pak", repos = "https://cloud.r-project.org/")
pak::pak("yanyachen/FinCovRegularization")

Development version from yanyachen/FinCovRegularization. Installs pak first if it is not already available.

Release

# enable cranapt (r2u) if it is not already set up, then install
grep -rqs r2u.stat.illinois.edu /etc/apt/sources.list /etc/apt/sources.list.d/ \
  || curl -fsSL https://raw.githubusercontent.com/eddelbuettel/r2u/master/inst/scripts/add_cranapt_noble.sh | sudo bash
sudo apt install -y r-cran-fincovregularization

Fast Ubuntu binaries via r2u (no compilation). The cranapt setup runs once and is skipped when it is already enabled.

bspm (used by r2u) also needs make: sudo apt install make

# enable the iucar/cran COPR if it is not already present, then install
ls /etc/yum.repos.d/*iucar*cran*.repo >/dev/null 2>&1 \
  || sudo dnf copr enable -y iucar/cran
sudo dnf install -y R-CRAN-FinCovRegularization

RPMs from the iucar/cran COPR, rebuilt from CRAN.

For install.packages() integration in R, also: sudo dnf install R-CoprManager

# add the autoCRAN OBS repo (Tumbleweed) if it is missing, then install
zypper -q lr | grep -qi autoCRAN \
  || sudo zypper addrepo https://download.opensuse.org/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Tumbleweed/devel:languages:R:autoCRAN.repo
sudo zypper install -y R-FinCovRegularization

RPMs auto-built from CRAN on openSUSE OBS (Tumbleweed).

Health

CRAN checks

1NOTE12OK

Failing flavors

NOTE r-devel-linux-x86_64-debian-gcc

Slowest check: 46 s · r-oldrel-windows-x86_64

Code health

None

Tests · ratio 0.00

not tracked

Coverage

100%

Documentation · exports

Dependencies · direct

Check history

NOTE2026-08-01
12 OK · 1 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE
OK2026-03-10
14 OK · 0 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE

Documentation

READMENoVignettesNopkgdown siteNoNEWSNoCode of conductNoContributing guideNo

Examples that run: 100%
Documented parameters: 100%
Return-value docs: 100%
References docs: 38%

Downloads

2.7K

CRAN downloads in the past year

Rank #19,769 · ~7/day · ~224/mo

Releases R versions

Daily download trend is not available in this view yet.

17530 days

56390 days

2.7K1 year

Compare downloads with other packages →

Also on100 r2u1 autocran

Repository

GitHub ↗ yanyachen/fincovregularization

7Stars

6Forks

2Open issues

0Open PRs

0Releases

22Commits

1Contributors

License GPL-2.0 · 22 commits · Last activity 2016-10-02

Stars over time

2022-02-26 · 72026-07-07 · 7

Repository practices

Upstream repositoryBeta

2 development-tooling and community-health practices detected across 1 family in the upstream repository

Checks run against github.com/yanyachen/fincovregularization on 2026-07-31.

Continuous integration (2)

Travis CIAppVeyor

How this is detected·Detection ruleset v1 (2026-07-18)

Dependencies

Declared dependencies

1 external dependency (excludes base and recommended)

Depends (1)

R >= 2.10

Imports (3)

statsgraphicsquadprog

LinkingTo (0)

none

Suggests (0)

none

Enhances (0)

none

Dependency license breakdown →

Reverse dependencies

1direct

0indirect

bspcov

Code & Tests

People & History

People (2)

Maintainer (1)

YaChen Yan

Author, Maintainer

Authors (2)

YaChen Yan

Author, Maintainer

FangZhu Lin

Author · added in 1.1.0

Package Timeline

2 releases. Pick two to compare their code metrics. R releases are shown for context.

R
R 4.6.0 released · 2026-04-24
R
R 4.5.0 released · 2025-04-11
R
R 4.4.0 released · 2024-04-24
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R 4.3.0 released · 2023-04-21
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R 4.2.0 released · 2022-04-22
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R 4.1.0 released · 2021-05-18
R
R 4.0.0 released · 2020-04-24
R
R 3.6.0 released · 2019-04-26
R
R 3.5.0 released · 2018-04-23
R
R 3.4.0 released · 2017-04-21
R
R 3.3.0 released · 2016-05-03
1.1.0Latest
2016-04-25 · current release · diff ↗
R
R 3.2.0 released · 2015-04-16
1.0.0
2015-03-01
R
R 3.1.0 released · 2014-04-10

Package metadata

First published: 2015-03-01
Total releases: 2 / 11 yrs
License: GPL-2 OSI
Minimum R: ≥ 2.10
Bundled data: 13 KB / 1 file
Download size: 25 KB
Installed size: not tracked yet
With dependencies: not tracked yet

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