Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).
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1.0.1 by Pratik Ramprasad, 3 years ago
Browse source code at https://github.com/cran/nlshrink
Authors: Pratik Ramprasad [aut, cre]
Documentation: PDF Manual
GPL-3 license
Imports stats, MASS, nloptr, graphics
Imported by xdcclarge.
See at CRAN