tech.nmfin.returns.moments

Interface ReturnsMoments.Estimator

All Known Implementing Classes:

MomentsEstimatorLedoitWolf, SimpleAR1Moments, SimpleGARCHMoments1, SimpleGARCHMoments2

Enclosing class:

ReturnsMoments

public static interface ReturnsMoments.Estimator

The interface to estimate moments from returns.

Method Summary

Modifier and Type	Method and Description
ReturnsMoments	estimate(Matrix returns) Estimates the moments from a given returns matrix.

Method Detail

estimate

ReturnsMoments estimate(Matrix returns)

Estimates the moments from a given returns matrix.

Parameters:

returns - a returns matrix (T-by-N)

Returns:

the estimated moments