Assets / Covariance Matrix Estimation
Distance Covariance Matrix
Changed onCompute the asset distance covariance matrix, from either:
- Asset returns
- Asset close-to-close prices, from which asset logarithmic returns are computed
References
- Szekely, G. J., Rizzo, M. L. and Bakirov, N. K. (2007). Measuring and testing independence by correlation of distances. Ann. Statist. 35 2769–2794
- Javier Pardo-Diaz, Lyuba V Bozhilova, Mariano Beguerisse-Díaz, Philip S Poole, Charlotte M Deane, Gesine Reinert, Robust gene coexpression networks using signed distance correlation, Bioinformatics, Volume 37, Issue 14, July 2021, Pages 1982–1989
post/assets/covariance/matrix/estimation/distance
Request
- Base URLhttps://api.portfoliooptimizer.io/v1
- URLhttps://api.portfoliooptimizer.io/v1/assets/covariance/matrix/estimation/distance
- AuthAPI key in header X-API-Key
Request body
Response
OK
Changes
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