Package | Description |
---|---|
dev.nm.stat.covariance |
Modifier and Type | Method and Description |
---|---|
LedoitWolf2004.Result |
LedoitWolf2004.compute(Matrix Y)
Estimates the covariance matrix for a given matrix Y (each column
in Y is a time-series), with the optimal shrinkage parameter
computed by the algorithm.
|
LedoitWolf2004.Result |
LedoitWolf2004.compute(Matrix Y,
double shrinkage)
Estimates the covariance matrix for a given matrix Y (each column
in Y is a time-series), with the given shrinkage parameter.
|
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