public class CovarianceSelectionLASSO extends Object implements CovarianceSelectionSolver
| Constructor and Description |
|---|
CovarianceSelectionLASSO(CovarianceSelectionProblem problem)
Estimate the covariance matrix directly by using LASSO.
|
CovarianceSelectionLASSO(CovarianceSelectionProblem problem,
double epsilon)
Estimate the covariance matrix directly by using LASSO.
|
| Modifier and Type | Method and Description |
|---|---|
Matrix |
covariance()
Get the estimated covariance matrix.
|
Matrix |
inverseCovariance()
Get the inverse of the estimated covariance matrix.
|
CovarianceSelectionProblem |
problem()
Get the original covariance selection problem.
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public CovarianceSelectionLASSO(CovarianceSelectionProblem problem, double epsilon)
problem - the covariance selection problemepsilon - a precision parameter: when a number |x| ≤ ε,
it is considered 0public CovarianceSelectionLASSO(CovarianceSelectionProblem problem)
problem - the covariance selection problempublic CovarianceSelectionProblem problem()
public Matrix inverseCovariance()
inverseCovariance in interface CovarianceSelectionSolverpublic Matrix covariance()
covariance in interface CovarianceSelectionSolverCopyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.