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).


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Reference manual

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install.packages("nlshrink")

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