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nlshrink: 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).
Getting started
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Package details |
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| Author | Pratik Ramprasad [aut, cre] |
| Maintainer | Pratik Ramprasad <pratik.ramprasad@gmail.com> |
| License | GPL-3 |
| Version | 1.0.1 |
| Package repository | View on CRAN |
| Installation |
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