Class CovarianceSelectionLASSO
- java.lang.Object
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- dev.nm.stat.covariance.covarianceselection.lasso.CovarianceSelectionLASSO
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- All Implemented Interfaces:
CovarianceSelectionSolver
public class CovarianceSelectionLASSO extends Object implements CovarianceSelectionSolver
The LASSO approach of covariance selection.- See Also:
- A. d'Aspremont, "Identifying small mean reverting portfolios," Working Paper, 2008.
- Banerjee et al., 2007.
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Constructor Summary
Constructors Constructor Description CovarianceSelectionLASSO(CovarianceSelectionProblem problem)Estimate the covariance matrix directly by using LASSO.CovarianceSelectionLASSO(CovarianceSelectionProblem problem, double epsilon)Estimate the covariance matrix directly by using LASSO.
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Matrixcovariance()Get the estimated covariance matrix.MatrixinverseCovariance()Get the inverse of the estimated covariance matrix.CovarianceSelectionProblemproblem()Get the original covariance selection problem.
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Constructor Detail
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CovarianceSelectionLASSO
public CovarianceSelectionLASSO(CovarianceSelectionProblem problem, double epsilon)
Estimate the covariance matrix directly by using LASSO.- Parameters:
problem- the covariance selection problemepsilon- a precision parameter: when a number |x| ≤ ε, it is considered 0
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CovarianceSelectionLASSO
public CovarianceSelectionLASSO(CovarianceSelectionProblem problem)
Estimate the covariance matrix directly by using LASSO.- Parameters:
problem- the covariance selection problem
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Method Detail
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problem
public CovarianceSelectionProblem problem()
Get the original covariance selection problem.- Returns:
- the original covariance selection problem
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inverseCovariance
public Matrix inverseCovariance()
Get the inverse of the estimated covariance matrix.- Specified by:
inverseCovariancein interfaceCovarianceSelectionSolver- Returns:
- the inverse of the estimated covariance matrix
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covariance
public Matrix covariance()
Get the estimated covariance matrix.- Specified by:
covariancein interfaceCovarianceSelectionSolver- Returns:
- the estimated covariance matrix
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