Conditional Expectation Manifolds (cems)
Conditional expectation manifolds are an approach to compute principal curves and surfaces.
Randomized Singular Value Decomposition (rsvd)
Randomized singular value decomposition (rsvd) is a very fast probabilistic algorithm to compute an approximated low-rank singular value decomposition of large data sets with high accuracy. SVD plays a central role in data analysis and scientific computing. SVD is also widely used for computing principal component analysis (PCA), a linear dimensionality reduction technique. Randomized PCA (rpca) is using the approximated singular value decomposition to compute the most significant principal components. In addition several plot functions are provided.
High Frequency Price Estimators by PortfolioEffect (PortfolioEffectEstim)
R interface to PortfolioEffect Quant service for estimating high frequency price variance, quarticity, microstructure noise variance, and other metrics in both aggregate and rolling window flavors. Constructed estimators could use client-side market data or access HF intraday price history for all major US Equities. See for more information on the PortfolioEffect high frequency portfolio analytics platform.