Class CovarianceSelectionLASSO
- java.lang.Object
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- dev.nm.stat.covariance.covarianceselection.lasso.CovarianceSelectionLASSO
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- All Implemented Interfaces:
CovarianceSelectionSolver
public class CovarianceSelectionLASSO extends Object implements CovarianceSelectionSolver
The LASSO approach of covariance selection.- See Also:
- A. d'Aspremont, "Identifying small mean reverting portfolios," Working Paper, 2008.
- Banerjee et al., 2007.
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Constructor Summary
Constructors Constructor Description CovarianceSelectionLASSO(CovarianceSelectionProblem problem)
Estimate the covariance matrix directly by using LASSO.CovarianceSelectionLASSO(CovarianceSelectionProblem problem, double epsilon)
Estimate the covariance matrix directly by using LASSO.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Matrix
covariance()
Get the estimated covariance matrix.Matrix
inverseCovariance()
Get the inverse of the estimated covariance matrix.CovarianceSelectionProblem
problem()
Get the original covariance selection problem.
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Constructor Detail
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CovarianceSelectionLASSO
public CovarianceSelectionLASSO(CovarianceSelectionProblem problem, double epsilon)
Estimate the covariance matrix directly by using LASSO.- Parameters:
problem
- the covariance selection problemepsilon
- a precision parameter: when a number |x| ≤ ε, it is considered 0
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CovarianceSelectionLASSO
public CovarianceSelectionLASSO(CovarianceSelectionProblem problem)
Estimate the covariance matrix directly by using LASSO.- Parameters:
problem
- the covariance selection problem
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Method Detail
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problem
public CovarianceSelectionProblem problem()
Get the original covariance selection problem.- Returns:
- the original covariance selection problem
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inverseCovariance
public Matrix inverseCovariance()
Get the inverse of the estimated covariance matrix.- Specified by:
inverseCovariance
in interfaceCovarianceSelectionSolver
- Returns:
- the inverse of the estimated covariance matrix
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covariance
public Matrix covariance()
Get the estimated covariance matrix.- Specified by:
covariance
in interfaceCovarianceSelectionSolver
- Returns:
- the estimated covariance matrix
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