public class CovarianceSelectionProblem extends Object
Constructor and Description |
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CovarianceSelectionProblem(CovarianceSelectionProblem that)
Copy constructor.
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CovarianceSelectionProblem(Matrix S,
double t)
Constructs a covariance selection problem.
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CovarianceSelectionProblem(MultivariateTimeSeries ts,
double t)
Constructs a covariance selection problem from a multivariate time
series.
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CovarianceSelectionProblem(MultivariateTimeSeries ts,
double t,
boolean isCor)
Constructs a covariance selection problem from a multivariate time
series.
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Modifier and Type | Method and Description |
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double |
penalizedCardinality(Matrix X)
Gets the value of a cardinality-penalized function.
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double |
penalizedL1(Matrix X)
Gets the value of an L1-penalized function.
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ImmutableMatrix |
S()
Gets the original sample covariance matrix.
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double |
t()
Gets the penalization parameter t for L1 regularization.
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public CovarianceSelectionProblem(Matrix S, double t)
S
- a sample covariance (or correlation) matrixt
- the penalization parameter t for L1 regularizationpublic CovarianceSelectionProblem(MultivariateTimeSeries ts, double t, boolean isCor)
ts
- a multivariate time seriest
- the penalization parameter t for L1 regularizationisCor
- indicator of whether sample correlation matrix is used
instead of the covariance matrixpublic CovarianceSelectionProblem(MultivariateTimeSeries ts, double t)
ts
- a multivariate time seriest
- the penalization parameter t for L1 regularizationpublic CovarianceSelectionProblem(CovarianceSelectionProblem that)
that
- another CovarianceSelectionProblem
public ImmutableMatrix S()
public double t()
public double penalizedL1(Matrix X)
X
- the inverse of a covariance matrix (to be estimated)public double penalizedCardinality(Matrix X)
X
- the inverse of a covariance matrix (to be estimated)Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.