| Interface | Description |
|---|---|
| ExtremalGeneralizedEigenvalueSolver |
| Class | Description |
|---|---|
| AhatEstimation |
Estimates the coefficient of a VAR(1) model by penalized maximum likelihood.
|
| CovarianceEstimation |
Estimates the covariance matrix by maximum likelihood.
|
| ExtremalGeneralizedEigenvalueByGreedySearch |
Solves
\[ \min_x \frac{x'Ax}{x'Bx} \\ \textup{s.t.,} \mathbf{Card}(x)
\leqslant k, \left \| x \right \| = 1 \]
|
| ExtremalGeneralizedEigenvalueBySDP |
Solves the problem described in Section 3.2, d'Aspremont (2008).
|
| IndependentCoVAR |
This algorithm finds the independent variables based on the covariance matrix.
|
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