Package dev.nm.stat.covariance.nlshrink
Class LedoitWolf2016
- java.lang.Object
-
- dev.nm.stat.covariance.nlshrink.LedoitWolf2016
-
public class LedoitWolf2016 extends Object
This is Ledoit's non-linear shrinkage method for computing covariance matrixes when the dimension is large compared to the number of observations.- See Also:
- "Olivier Ledoit and Michael Wolf, "Numerical Implementation of the QuEST Function", 2016."
- "Olivier Ledoit and Michael Wolf, "Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions", 2015."
- "Olivier Ledoit and Michael Wolf, "Nonlinear shrinkage estimation of large-dimensional covariance matrices." January 2012."
-
-
Nested Class Summary
Nested Classes Modifier and Type Class Description static class
LedoitWolf2016.Result
the estimator and some intermediate values computed by the algorithm
-
Constructor Summary
Constructors Constructor Description LedoitWolf2016()
LedoitWolf2016(boolean unbiased)
-
-
-
Method Detail
-
estimate
public LedoitWolf2016.Result estimate(Matrix Y)
-
-