Class LedoitWolf2016.Result

  • Enclosing class:
    LedoitWolf2016

    public static class LedoitWolf2016.Result
    extends Object
    the estimator and some intermediate values computed by the algorithm
    • Method Detail

      • S

        public ImmutableMatrix S()
        Sample covariance matrix.
        Returns:
        sample covariance matrix
      • lambda

        public Vector lambda()
        Gets sample eigenvalues.
        Returns:
        sample eigenvalues
      • tau

        public Vector tau()
        Gets estimated population eigenvalues in ascending order.
        Returns:
        estimated population eigenvalues in ascending order
      • linshrink_tau

        public Vector linshrink_tau()
        Gets linear shrinkage tau in ascending order.
        Returns:
        linear shrinkage tau in ascending order
      • nlshrink_tau

        public Vector nlshrink_tau()
        Gets nonlinear shrinkage tau in ascending order.
        Returns:
        nonlinear shrinkage tau in ascending order
      • getShrunkCovarianceMatrix

        public Matrix getShrunkCovarianceMatrix()
        Gets the nonlinear shrinkage covariance matrix.
        Returns:
        the nonlinear shrinkage covariance matrix