Package org.drip.function.rdtor1

Class CovarianceEllipsoidMultivariate

java.lang.Object
org.drip.function.definition.RdToR1
org.drip.function.rdtor1.CovarianceEllipsoidMultivariate
public class CovarianceEllipsoidMultivariate
extends RdToR1
CovarianceEllipsoidMultivariate implements a Rd To R1 Co-variance Estimate of the specified Distribution.

Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CovarianceEllipsoidMultivariate​(double[][] aadblCovarianceMatrix)
    CovarianceEllipsoidMultivariate Constructor

  • Method Summary

    Modifier and Type Method Description
    double[][] covariance()
    Retrieve the Co-variance Matrix
    int dimension()
    Retrieve the Input Variate Dimension
    double evaluate​(double[] adblVariate)
    Evaluate for the given Input Variates
    double[][] hessian​(double[] adblVariate)
    Evaluate The Hessian for the given Input Variates
    double[] jacobian​(double[] adblVariate)
    Evaluate the Jacobian for the given Input Variates

    Methods inherited from class org.drip.function.definition.RdToR1

    derivative, differential, gradient, gradientModulus, gradientModulusFunction, integrate, maxima, minima, ValidateInput

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CovarianceEllipsoidMultivariate

      public CovarianceEllipsoidMultivariate​(double[][] aadblCovarianceMatrix) throws java.lang.Exception
      CovarianceEllipsoidMultivariate Constructor
      Parameters:
      aadblCovarianceMatrix - The Covariance Matrix
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • dimension

      public int dimension()
      Retrieve the Input Variate Dimension
      Specified by:
      dimension in class RdToR1
      Returns:
      The Input Variate Dimension

    • covariance

      public double[][] covariance()
      Retrieve the Co-variance Matrix
      Returns:
      The Co-variance Matrix

    • evaluate

      public double evaluate​(double[] adblVariate) throws java.lang.Exception
      Description copied from class: RdToR1
      Evaluate for the given Input Variates
      Specified by:
      evaluate in class RdToR1
      Parameters:
      adblVariate - Array of Input Variates
      Returns:
      The Calculated Value
      Throws:
      java.lang.Exception - Thrown if the Evaluation cannot be done

    • jacobian

      public double[] jacobian​(double[] adblVariate)
      Description copied from class: RdToR1
      Evaluate the Jacobian for the given Input Variates
      Overrides:
      jacobian in class RdToR1
      Parameters:
      adblVariate - Array of Input Variates
      Returns:
      The Jacobian Array

    • hessian

      public double[][] hessian​(double[] adblVariate)
      Description copied from class: RdToR1
      Evaluate The Hessian for the given Input Variates
      Overrides:
      hessian in class RdToR1
      Parameters:
      adblVariate - Array of Input Variates
      Returns:
      The Hessian Matrix