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