bahc

Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

v0.3.0 · Sep 21, 2020 · GPL

Description

A method to filter correlation and covariance matrices by averaging bootstrapped filtered hierarchical clustering and boosting. See Ch. Bongiorno and D. Challet, Covariance matrix filtering with bootstrapped hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet, Reactive Global Minimum Variance Portfolios with k-BAHC covariance cleaning (2020) <arXiv:2005.08703>.

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CRAN Check Status

5 NOTE

9 OK

Show all 14 flavors

Flavor	Status	Time
r-devel-linux-x86_64-debian-clang	NOTE	21.4s
r-devel-linux-x86_64-debian-gcc	NOTE	17.7s
r-devel-linux-x86_64-fedora-clang	OK	32.3s
r-devel-linux-x86_64-fedora-gcc	OK	30.1s
r-devel-macos-arm64	OK	11s
r-devel-windows-x86_64	OK	43s
r-oldrel-macos-arm64	NOTE
r-oldrel-macos-x86_64	NOTE	22s
r-oldrel-windows-x86_64	NOTE	52s
r-patched-linux-x86_64	OK	19.1s
r-release-linux-x86_64	OK	19.4s
r-release-macos-arm64	OK
r-release-macos-x86_64	OK	37s
r-release-windows-x86_64	OK	42s

Check details (14 non-OK)

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Damien Challet <damien.challet@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Christian",
                      family = "Bongiorno",
                      role = "aut"),
               person(given = "Damien",
                      family = "Challet",
                      role = c("aut", "cre"),
                      email = "damien.challet@gmail.com"))
as necessary.

The Description field contains
  hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet,
  cleaning (2020) <arXiv:2005.08703>.
Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.

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

CRAN incoming feasibility

Maintainer: ‘Damien Challet <damien.challet@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Christian",
                      family = "Bongiorno",
                      role = "aut"),
               person(given = "Damien",
                      family = "Challet",
                      role = c("aut", "cre"),
                      email = "damien.challet@gmail.com"))
as necessary.

The Description field contains
  hierarchies (2020) <arXiv:2003.05807> and Ch. Bongiorno and D. Challet,
  cleaning (2020) <arXiv:2005.08703>.
Please refer to arXiv e-prints via their arXiv DOI <doi:10.48550/arXiv.YYMM.NNNNN>.

OK r-devel-linux-x86_64-fedora-clang

OK r-devel-linux-x86_64-fedora-gcc

OK r-devel-macos-arm64

OK r-devel-windows-x86_64

NOTE r-oldrel-macos-arm64

LazyData

  'LazyData' is specified without a 'data' directory

NOTE r-oldrel-macos-x86_64

LazyData

  'LazyData' is specified without a 'data' directory

NOTE r-oldrel-windows-x86_64

LazyData

  'LazyData' is specified without a 'data' directory

OK r-patched-linux-x86_64

OK r-release-linux-x86_64

OK r-release-macos-arm64

OK r-release-macos-x86_64

OK r-release-windows-x86_64

Check History

NOTE 9 OK · 5 NOTE · 0 WARNING · 0 ERROR · 0 FAILURE Mar 9, 2026

NOTE r-devel-linux-x86_64-debian-clang

CRAN incoming feasibility

Maintainer: ‘Damien Challet <damien.challet@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Christian",
                      family = "Bongiorno",
                      role = "aut"),
               person(given = "Damien",
                      family = "Challet",
                      role = c("aut", "cre"),
                      email = "damien.challet@gmail.com"))
as necessary.

The Description field contains
  hierarchies (2020) <arX

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

CRAN incoming feasibility

Maintainer: ‘Damien Challet <damien.challet@gmail.com>’

No Authors@R field in DESCRIPTION.
Please add one, modifying
  Authors@R: c(person(given = "Christian",
                      family = "Bongiorno",
                      role = "aut"),
               person(given = "Damien",
                      family = "Challet",
                      role = c("aut", "cre"),
                      email = "damien.challet@gmail.com"))
as necessary.

The Description field contains
  hierarchies (2020) <arX

NOTE r-oldrel-macos-arm64

LazyData

  'LazyData' is specified without a 'data' directory

NOTE r-oldrel-macos-x86_64

LazyData

  'LazyData' is specified without a 'data' directory

NOTE r-oldrel-windows-x86_64

LazyData

  'LazyData' is specified without a 'data' directory

Dependency Network

Version History

new 0.3.0 Mar 10, 2026