Package tech.nmfin.returns.moments
Class MomentsEstimatorLedoitWolf
- java.lang.Object
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- tech.nmfin.returns.moments.MomentsEstimatorLedoitWolf
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- All Implemented Interfaces:
ReturnsMoments.Estimator
public class MomentsEstimatorLedoitWolf extends Object implements ReturnsMoments.Estimator
Estimates the first two moments of returns using Ledoit-Wolf 2004.
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Constructor Summary
Constructors Constructor Description MomentsEstimatorLedoitWolf()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description ReturnsMoments
estimate(Matrix returns)
Estimates the moments from a given returns matrix.
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Method Detail
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estimate
public ReturnsMoments estimate(Matrix returns)
Description copied from interface:ReturnsMoments.Estimator
Estimates the moments from a given returns matrix.- Specified by:
estimate
in interfaceReturnsMoments.Estimator
- Parameters:
returns
- a returns matrix (T-by-N)- Returns:
- the estimated moments
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