com.numericalmethod.suanshu.stats.covariance.covarianceselection.lasso

Class CovarianceSelectionLASSO

java.lang.Object

com.numericalmethod.suanshu.stats.covariance.covarianceselection.lasso.CovarianceSelectionLASSO

All Implemented Interfaces:

CovarianceSelectionSolver

public class CovarianceSelectionLASSO
extends Object
implements CovarianceSelectionSolver

The LASSO approach of covariance selection.

See Also:

• A. d'Aspremont, "Identifying small mean reverting portfolios," Working Paper, 2008.
• Banerjee et al., 2007.

Constructor Summary

Constructors

Constructor and Description
CovarianceSelectionLASSO(CovarianceSelectionProblem problem) Estimate the covariance matrix directly by using LASSO.
CovarianceSelectionLASSO(CovarianceSelectionProblem problem, double epsilon) Estimate the covariance matrix directly by using LASSO.

Method Summary

Modifier and Type	Method and Description
Matrix	covariance() Get the estimated covariance matrix.
Matrix	inverseCovariance() Get the inverse of the estimated covariance matrix.
CovarianceSelectionProblem	problem() Get the original covariance selection problem.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

CovarianceSelectionLASSO

public CovarianceSelectionLASSO(CovarianceSelectionProblem problem,
                                double epsilon)

Estimate the covariance matrix directly by using LASSO.

Parameters:

problem - the covariance selection problem

epsilon - a precision parameter: when a number |x| ≤ ε, it is considered 0

CovarianceSelectionLASSO

public CovarianceSelectionLASSO(CovarianceSelectionProblem problem)

Estimate the covariance matrix directly by using LASSO.

Parameters:

problem - the covariance selection problem

Method Detail

problem

public CovarianceSelectionProblem problem()

Get the original covariance selection problem.

Returns:

the original covariance selection problem

inverseCovariance

public Matrix inverseCovariance()

Get the inverse of the estimated covariance matrix.

Specified by:

inverseCovariance in interface CovarianceSelectionSolver

Returns:

the inverse of the estimated covariance matrix

covariance

public Matrix covariance()

Get the estimated covariance matrix.

Specified by:

covariance in interface CovarianceSelectionSolver

Returns:

the estimated covariance matrix