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 R^d To R¹ Co-variance Estimate of the specified Distribution.

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = R^d To R^d Function Analysis
• Package = Built-in R^d To R¹ Functions

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

conditionNumber, conditionNumberL2, conditionNumberLInfinity, conditionNumberLp, 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