Package dev.nm.stat.covariance.nlshrink
Class LedoitWolf2016.Result
- java.lang.Object
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- dev.nm.stat.covariance.nlshrink.LedoitWolf2016.Result
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- Enclosing class:
- LedoitWolf2016
public static class LedoitWolf2016.Result extends Object
the estimator and some intermediate values computed by the algorithm
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Matrix
getShrunkCovarianceMatrix()
Gets the nonlinear shrinkage covariance matrix.Vector
lambda()
Gets sample eigenvalues.Vector
linshrink_tau()
Gets linear shrinkage tau in ascending order.Vector
nlshrink_tau()
Gets nonlinear shrinkage tau in ascending order.ImmutableMatrix
S()
Sample covariance matrix.Vector
tau()
Gets estimated population eigenvalues in ascending order.
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Method Detail
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S
public ImmutableMatrix S()
Sample covariance matrix.- Returns:
- sample covariance matrix
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lambda
public Vector lambda()
Gets sample eigenvalues.- Returns:
- sample eigenvalues
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tau
public Vector tau()
Gets estimated population eigenvalues in ascending order.- Returns:
- estimated population eigenvalues in ascending order
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linshrink_tau
public Vector linshrink_tau()
Gets linear shrinkage tau in ascending order.- Returns:
- linear shrinkage tau in ascending order
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nlshrink_tau
public Vector nlshrink_tau()
Gets nonlinear shrinkage tau in ascending order.- Returns:
- nonlinear shrinkage tau in ascending order
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getShrunkCovarianceMatrix
public Matrix getShrunkCovarianceMatrix()
Gets the nonlinear shrinkage covariance matrix.- Returns:
- the nonlinear shrinkage covariance matrix
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