CovEstimators

class sigtech.framework.analytics.optimization.factor_exposure.CovEstimators

Baseclasses: str, Enum

Collection of covariance estimation methods.

The options include:

• 'EMPIRICAL' - Empirical covariance estimator.

• 'SHRUNK_EMPIRICAL' - Empirical estimator with shrinkage towards a positive semi-definite result.

• 'LEDOIT_WOLF' - Estimator with Ledoit-Wolf shrinkage.

• 'GRAPHICAL_LASSO' - Sparse inverse covariance estimation with an l1-penalized estimator.

EMPIRICAL = 'EMPIRICAL'

GRAPHICAL_LASSO = 'GRAPHICAL_LASSO'

LEDOIT_WOLF = 'LEDOIT_WOLF'

SHRUNK_EMPIRICAL = 'SHRUNK_EMPIRICAL'