Class CovarianceEstimation
- java.lang.Object
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- tech.nmfin.meanreversion.daspremont2008.CovarianceEstimation
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public class CovarianceEstimation extends Object
Estimates the covariance matrix by maximum likelihood. The maximum likelihood problem is \[ \max_{X} \log(\det X) - Tr(\Sigma X)-\rho Card(X) \]- See Also:
- "A. d'Aspremont, "eq. 13," Identifying Small Mean Reverting Portfolios, 2008."
- "O. Banerjee, L. E. Ghaoui and A. d'Aspremont, "Model Selection Through Sparse Maximum Likelihood Estimation for multivariate Gaussian or Binary Data," Journal of Machine Learning Research, 9, pp. 485-516, March 2008."
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Constructor Summary
Constructors Constructor Description CovarianceEstimation(Matrix Sigma, double rho)
Solves the maximum likelihood problem for covariance selection.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description SymmetricMatrix
covariance()
SymmetricMatrix
inverseCovariance()
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Constructor Detail
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CovarianceEstimation
public CovarianceEstimation(Matrix Sigma, double rho)
Solves the maximum likelihood problem for covariance selection.- Parameters:
Sigma
- the sample covariance matrixrho
- the penalty parameter
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Method Detail
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covariance
public SymmetricMatrix covariance()
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inverseCovariance
public SymmetricMatrix inverseCovariance()
- Returns:
- The solution to eq. 13
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