Package com.numericalmethod.suanshu.stats.descriptive.covariance

Class Summary

Class	Description
Covariance	Covariance is a measure of how much two variables change together.
LedoitWolf2004	To estimate the covariance matrix, Ledoit and Wolf (2004) suggests using the matrix obtained from the sample covariance matrix through a transformation called shrinkage.
LedoitWolf2004.Result	The estimator and some intermediate values computed by the algorithm.
SampleCovariance	This class computes the Covariance matrix of a matrix, where the (i, j) entry is the covariance of the i-th column and j-th column of the matrix.