Class TauEstimator


  • public class TauEstimator
    extends Object
    Non-linear shrinkage estimator of population eigenvalues.
    • Constructor Detail

      • TauEstimator

        public TauEstimator​(int p,
                            int n,
                            Vector sample_lambdas)
      • TauEstimator

        public TauEstimator​(int p,
                            int n,
                            Vector sample_lambdas,
                            int max_optimizer_iterations,
                            double epsilon)
    • Method Detail

      • estimatedPopulationEigenvalues

        public Vector estimatedPopulationEigenvalues​(Vector initials)
        Estimates population eigenvalues from given sample eigenvalues.
        Parameters:
        initials - start values for the iterative search
        Returns:
        population eigenvalues in ascending order