r-bahc

Filter Covariance and Correlation Matrices with Bootstrapped-Averaged Hierarchical Ansatz

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>.