Uses of Class
com.quantfinlib.risk.CovarianceShrinkage.Result

Packages that use CovarianceShrinkage.Result

Package	Description
com.quantfinlib.risk	Risk measurement, decomposition, limits and model validation.

Uses of CovarianceShrinkage.Result in com.quantfinlib.risk

Methods in com.quantfinlib.risk that return CovarianceShrinkage.Result

Modifier and Type	Method	Description
static CovarianceShrinkage.Result	CovarianceShrinkage.constantCorrelation(double[][] returns)	Ledoit-Wolf shrinkage toward the constant-correlation target F_ii = s_ii, F_ij = r̄·√(s_ii s_jj) with r̄ the average sample correlation.
static CovarianceShrinkage.Result	CovarianceShrinkage.ledoitWolf(double[][] returns)	Ledoit-Wolf shrinkage estimate of the covariance matrix.