public static class LedoitWolf2016.Result extends Object
Modifier and Type | Method and Description |
---|---|
Matrix |
getShrunkCovarianceMatrix()
Gets the nonlinear shrinkage covariance matrix.
|
Vector |
lambda()
Gets sample eigenvalues.
|
Vector |
linshrink_tau()
Gets linear shrinkage tau in ascending order.
|
Vector |
nlshrink_tau()
Gets nonlinear shrinkage tau in ascending order.
|
ImmutableMatrix |
S()
Sample covariance matrix.
|
Vector |
tau()
Gets estimated population eigenvalues in ascending order.
|
public ImmutableMatrix S()
public Vector lambda()
public Vector tau()
public Vector linshrink_tau()
public Vector nlshrink_tau()
public Matrix getShrunkCovarianceMatrix()
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.