tech.nmfin.returns.moments

Class ReturnsMoments

java.lang.Object

tech.nmfin.returns.moments.ReturnsMoments

public class ReturnsMoments
extends Object

Contains the estimated moments of asset returns.

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static interface	ReturnsMoments.Estimator The interface to estimate moments from returns.

Constructor Summary

Constructors

Constructor and Description
ReturnsMoments(Vector mu, Matrix V) Constructs an instance.

Method Summary

Modifier and Type	Method and Description
Vector	mu() Gets the mean vector.
Matrix	V() Gets the second moment matrix.

Methods inherited from class java.lang.Object

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

Constructor Detail

ReturnsMoments

public ReturnsMoments(Vector mu,
                      Matrix V)

Constructs an instance.

Parameters:

mu - the first moment vector, i.e., μ = E[r]

V - the second moment matrix, i.e., V = E[rr']

Method Detail

mu

public Vector mu()

Gets the mean vector.

Returns:

the mean vector

V

public Matrix V()

Gets the second moment matrix.

Returns:

the second moment matrix