Package dev.nm.stat.covariance
Class LedoitWolf2004.Result
- java.lang.Object
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- dev.nm.stat.covariance.LedoitWolf2004.Result
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- Enclosing class:
- LedoitWolf2004
public static class LedoitWolf2004.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 double
delta()
Gets the shrinkage parameter δ.ImmutableMatrix
F()
Gets the sample constant correlation matrix F.Matrix
getCovarianceMatrix()
Gets the "shrunk" covariance matrix.double
rBar()
Gets the average correlation \(\bar{r}\).ImmutableMatrix
S()
Gets the sample covariance matrix S.
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Method Detail
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getCovarianceMatrix
public Matrix getCovarianceMatrix()
Gets the "shrunk" covariance matrix.- Returns:
- the estimated covariance matrix
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F
public ImmutableMatrix F()
Gets the sample constant correlation matrix F.- Returns:
- F
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S
public ImmutableMatrix S()
Gets the sample covariance matrix S.- Returns:
- S
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delta
public double delta()
Gets the shrinkage parameter δ.- Returns:
- δ
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rBar
public double rBar()
Gets the average correlation \(\bar{r}\).- Returns:
- \(\bar{r}\)
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