Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices

Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).


Reference manual

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1.0.1 by Pratik Ramprasad, 5 years ago

Browse source code at

Authors: Pratik Ramprasad [aut, cre]

Documentation:   PDF Manual  

GPL-3 license

Imports stats, MASS, nloptr, graphics

Imported by xdcclarge.

See at CRAN