Class CovarianceSelectionLASSO

  • 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.
    • Constructor Detail

      • CovarianceSelectionLASSO

        public CovarianceSelectionLASSO​(CovarianceSelectionProblem problem,
                                        double epsilon)
        Estimate the covariance matrix directly by using LASSO.
        Parameters:
        problem - the covariance selection problem
        epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0
      • CovarianceSelectionLASSO

        public CovarianceSelectionLASSO​(CovarianceSelectionProblem problem)
        Estimate the covariance matrix directly by using LASSO.
        Parameters:
        problem - the covariance selection problem