nlshrink: Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices
Version 1.0.1

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

Getting started

Package details

AuthorPratik Ramprasad [aut, cre]
Date of publication2016-04-12 00:55:21
MaintainerPratik Ramprasad <[email protected]>
LicenseGPL-3
Version1.0.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("nlshrink")

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nlshrink documentation built on May 29, 2017, 11:31 a.m.