Name | Description | Type | Package | Framework |
Covariance | Covariance is a measure of how much two variables change together. | Class | com.numericalmethod.suanshu.stats.descriptive.covariance | SuanShu |
LedoitWolf2004 | To estimate the covariance matrix, Ledoit and Wolf (2004) suggests using the matrix obtained from the sample covariance matrix through a transformation called shrinkage. | Class | com.numericalmethod.suanshu.stats.descriptive.covariance | SuanShu |
LedoitWolf2004 .Result | The estimator and some intermediate values computed by the algorithm. | Class | com.numericalmethod.suanshu.stats.descriptive.covariance | SuanShu |
SampleCovariance | This class computes the Covariance matrix of a matrix, where the (i, j) entry is the covariance of the i-th column and j-th column of the matrix. | Class | com.numericalmethod.suanshu.stats.descriptive.covariance | SuanShu |