Tabasco toolbox provides an easy to use function, tabasco.m, to compute the TABASCO (TApered or BAnded Shrinkage COvariance) estimator. We also include a demo example that reproduces Figure 3 (upper left corner plot) in our paper.
The code is tested on MATLAB R2020a, but should work on other versions of Matlab with no or little changes as well as all platforms (Windows 64-bit, Linux 64-bit, or Mac 64-bit).
This toolbox does not depend on any other toolbox. However, the demo example tabasco_demo.m uses RegularizedSCM toolbox for computing the Ledoit-Wolf estimator (LWE) proposed by Ledoit and Wolf (2004).
Hence, in order to run tabasco_demo.m please install the RegularizedSCM toolbox from http://users.spa.aalto.fi/esollila/regscm/
Simply double click the Tabasco.mltbx and the MATLAB® installs the toolbox. If it does not work follow the instructions below for installation for MATLAB version < 2014b.
Download the files to a local folder, called Tabasco (say). Add the folder to the MATLAB search path as follows.
- Start MATLAB and go to the Tabasco folder, and execute the lines:
addpath(pwd) %<-- Add the toolbox to the MATLAB path
save path %<-- Save the path %
If you use this toolbox, please cite the the publication:
[1] Esa Ollila and Arnaud Breloy, "Regularized Tapered or Banded Sample Covariance Matrix", ArXiv preprint, submitted for publication, Sept. 2021.
Now you are good to go!
-
Simply type
help tabasco -
To have a quick acces to the provided demo example in the toolbox simply type
demo Tabasco
- Esa Ollila, esa DOT ollila AT aalto.fi
- Arnaud Breloy, abreloy AT parisnanterre DOT fr