Covariance

java.lang.Object

org.drip.measure.gaussian.Covariance

public class Covariance
extends java.lang.Object

Covariance holds the Standard Covariance Matrix, and provides functions to manipulate it.

Module = Computational Core Module
Library = Numerical Analysis Library
Project = R^d Continuous/Discrete Probability Measures
Package = R¹ R^d Covariant Gaussian Quadrature

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

Covariance(double[][] aadblCovariance)
Covariance Constructor

Method Summary

Modifier and Type	Method	Description
`double[][]`	`correlationMatrix()`	Retrieve the Correlation Matrix
`double[][]`	`covarianceMatrix()`	Retrieve the Covariance Matrix
`int`	`numVariate()`	Retrieve the Number of Variates
`double[][]`	`precisionMatrix()`	Retrieve the Precision Matrix
`double[]`	`variance()`	Retrieve the Variance Array
`double[]`	`volatility()`	Retrieve the Volatility Array

Methods inherited from class java.lang.Object

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

Constructor Details
- Covariance
  
  public Covariance(double[][] aadblCovariance) throws java.lang.Exception
  
  Covariance Constructor
  
  Parameters:
  
  aadblCovariance - Double Array of the Covariance Matrix
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- numVariate
  
  public int numVariate()
  
  Retrieve the Number of Variates
  
  Returns:
  
  The Number of Variates
- covarianceMatrix
  
  public double[][] covarianceMatrix()
  
  Retrieve the Covariance Matrix
  
  Returns:
  
  The Covariance Matrix
- precisionMatrix
  
  public double[][] precisionMatrix()
  
  Retrieve the Precision Matrix
  
  Returns:
  
  The Precision Matrix
- variance
  
  public double[] variance()
  
  Retrieve the Variance Array
  
  Returns:
  
  The Variance Array
- volatility
  
  public double[] volatility()
  
  Retrieve the Volatility Array
  
  Returns:
  
  The Volatility Array
- correlationMatrix
  
  public double[][] correlationMatrix()
  
  Retrieve the Correlation Matrix
  
  Returns:
  
  The Correlation Matrix