Package dev.nm.stat.covariance.nlshrink
Class NonlinearShrinkageEstimator
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- dev.nm.stat.covariance.nlshrink.NonlinearShrinkageEstimator
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public class NonlinearShrinkageEstimator extends Object
The nonlinear shrinkage method for given population eigenvalues. nlshrink_est in nlshrink_cov.R
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Constructor Summary
Constructors Constructor Description NonlinearShrinkageEstimator(Vector tau, int n)
NonlinearShrinkageEstimator(QuEST.Result quest)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Vector
nonlinearShrunkEigenvalues()
Gets the nonlinear shrinkage eigenvalues in ascending order.
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Constructor Detail
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NonlinearShrinkageEstimator
public NonlinearShrinkageEstimator(Vector tau, int n)
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NonlinearShrinkageEstimator
public NonlinearShrinkageEstimator(QuEST.Result quest)
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Method Detail
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nonlinearShrunkEigenvalues
public Vector nonlinearShrunkEigenvalues()
Gets the nonlinear shrinkage eigenvalues in ascending order.- Returns:
- the nonlinear shrinkage eigenvalues in ascending order
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