public class CovarianceEstimation extends Object
Constructor and Description |
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CovarianceEstimation(Matrix Sigma,
double rho)
Solves the maximum likelihood problem for covariance selection.
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Modifier and Type | Method and Description |
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SymmetricMatrix |
covariance() |
SymmetricMatrix |
inverseCovariance() |
public CovarianceEstimation(Matrix Sigma, double rho)
Sigma
- the sample covariance matrixrho
- the penalty parameterpublic SymmetricMatrix covariance()
public SymmetricMatrix inverseCovariance()
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