Displaying 3 results from an estimated 3 matches for "varcovar".
2003 Feb 10
1
Zero rows/cols in the hessian matrix
Dear R experts!
I try to minimize a function with external C fitting function.
I get the hessian matrix. Here it is:
[,1] [,2] [,3] [,4]
[1,] 1.8816631 0 0.8859803 0
[2,] 0.0000000 0 0.0000000 0
[3,] 0.8859803 0 0.4859983 0
[4,] 0.0000000 0 0.0000000 0
Second and fourth rows/columns have zero values only. That's OK,
because that ones related
2002 Mar 22
3
heteroskedasticity-robust standard errors
I am trying to compute the white heteroskedasticity-robust standard errors
(also called the Huber standard errors) in a linear model, but I can't seem
to find a function to do it. I know that the design library in S+ has
something like this (robcov?), but I have not yet seen this library ported
to R.
Anyone know if there is already a function built into R to do this
relatively simple job?
2012 Sep 04
0
Calculate a minimum-variance portfolio with fPortfolio
Hello everybody,
I'm running into an issue with the fPortfolio package.
1. What I want:
Calculate the minimum-variance portfolio on 20 assets with respect to the
following constraints:
- min weight per asset = 0% (i.e. no short-selling)
- max weight per asset = 10%
- min sum of asset weights = 100% (i.e. fully invested)
- max sum of asset weights = 100% (i.e. no leverage)
2. What I