com.numericalmethod.suanshu.stats.covariance.covarianceselection

Interface CovarianceSelectionSolver

All Known Implementing Classes:

CovarianceSelectionGLASSOFAST, CovarianceSelectionLASSO

public interface CovarianceSelectionSolver

Method Summary

Modifier and Type	Method and Description
Matrix	covariance() Get the estimated Covariance matrix of the selection problem.
Matrix	inverseCovariance() Get the estimated inverse Covariance matrix of the selection problem.

Method Detail

covariance

Matrix covariance()

Get the estimated Covariance matrix of the selection problem.

Returns:

the estimated Covariance matrix

inverseCovariance

Matrix inverseCovariance()

Get the estimated inverse Covariance matrix of the selection problem.

Returns:

the estimated Covariance matrix