Class CovarianceShrinkage.Result

java.lang.Object
com.quantfinlib.risk.CovarianceShrinkage.Result
Enclosing class:
CovarianceShrinkage
public static final class CovarianceShrinkage.Result extends Object

  • Constructor Summary

    Constructors
    Constructor
    Description
    Result(double[][] matrix, double intensity, double target)
    Creates the value; array and collection arguments are copied.

  • Method Summary

    Modifier and Type
    Method
    Description
    boolean
    equals(Object other)
     
    int
    hashCode()
     
    double
    intensity()
    intensity (delta in [0, 1] — how far toward the target).
    double
    matrix(int i, int j)
    Element [i][j] of matrix (the shrunk covariance Sigma*).
    double[][]
    matrixCopy()
    A deep copy of matrix.
    int
    matrixRows()
    Number of rows of matrix.
    double
    target()
    target (identity target: mu, the average sample variance (the target's diagonal); constant-correlation target: the average sample correlation r̄).
    String
    toString()
     

    Methods inherited from class Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • Result

      public Result(double[][] matrix, double intensity, double target)
      Creates the value; array and collection arguments are copied.
      Parameters:
      matrix - the shrunk covariance Sigma*
      intensity - delta in [0, 1] — how far toward the target
      target - identity target: mu, the average sample variance (the target's diagonal); constant-correlation target: the average sample correlation r̄

  • Method Details

    • matrix

      public double matrix(int i, int j)
      Element [i][j] of matrix (the shrunk covariance Sigma*).

    • matrixRows

      public int matrixRows()
      Number of rows of matrix.

    • matrixCopy

      public double[][] matrixCopy()
      A deep copy of matrix.

    • intensity

      public double intensity()
      intensity (delta in [0, 1] — how far toward the target).

    • target

      public double target()
      target (identity target: mu, the average sample variance (the target's diagonal); constant-correlation target: the average sample correlation r̄).

    • equals

      public boolean equals(Object other)
      Overrides:
      equals in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • toString

      public String toString()
      Overrides:
      toString in class Object