Covariance Estimation Regularized by Nuclear Norm Penalties

cernn | Compute the regularization path for Covariance Estimate... |

get_alpha | Compute alpha parameter for covariance regularization. |

get_lambda_max | Compute lambda_max parameter for covariance regularization. |

loss_entropy | Entropy Loss |

loss_quadratic | Quadratic Loss |

select_lambda | Selection of penalty parameter based on cross-validation |

shrink_eigen | Nonlinear shrinkage of sample eigenvalues |

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