Class LedoitWolf2004.Result

  • Enclosing class:
    LedoitWolf2004

    public static class LedoitWolf2004.Result
    extends Object
    The estimator and some intermediate values computed by the algorithm.
    • Method Detail

      • getCovarianceMatrix

        public Matrix getCovarianceMatrix()
        Gets the "shrunk" covariance matrix.
        Returns:
        the estimated covariance matrix
      • F

        public ImmutableMatrix F()
        Gets the sample constant correlation matrix F.
        Returns:
        F
      • S

        public ImmutableMatrix S()
        Gets the sample covariance matrix S.
        Returns:
        S
      • delta

        public double delta()
        Gets the shrinkage parameter δ.
        Returns:
        δ
      • rBar

        public double rBar()
        Gets the average correlation \(\bar{r}\).
        Returns:
        \(\bar{r}\)