Package dev.nm.stat.covariance.nlshrink
Class TauEstimator
- java.lang.Object
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- dev.nm.stat.covariance.nlshrink.TauEstimator
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public class TauEstimator extends Object
Non-linear shrinkage estimator of population eigenvalues.
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Constructor Summary
Constructors Constructor Description TauEstimator(int p, int n, Vector sample_lambdas)
TauEstimator(int p, int n, Vector sample_lambdas, int max_optimizer_iterations, double epsilon)
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Vector
estimatedPopulationEigenvalues(Vector initials)
Estimates population eigenvalues from given sample eigenvalues.
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