public static class LedoitWolf2004.Result extends Object
Modifier and Type | Method and Description |
---|---|
double |
delta()
Gets the shrinkage parameter δ.
|
ImmutableMatrix |
F()
Gets the sample constant correlation matrix F.
|
Matrix |
getCovarianceMatrix()
Gets the "shrunk" covariance matrix.
|
double |
rBar()
Gets the average correlation \(\bar{r}\).
|
ImmutableMatrix |
S()
Gets the sample covariance matrix S.
|
public Matrix getCovarianceMatrix()
public ImmutableMatrix F()
public ImmutableMatrix S()
public double delta()
public double rBar()
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