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).

Author
Pratik Ramprasad [aut, cre]
Date of publication
2016-04-12 00:55:21
Maintainer
Pratik Ramprasad <pratik.ramprasad@gmail.com>
License
GPL-3
Version
1.0.1

View on CRAN

Man pages

ESD
Compute the empirical spectral distribution (ESD) for a set...
lambda_estimate
Generate sample eigenvalues from population eigenvalues
linshrink
Linear-shrinkage estimator of population eigenvalues.
linshrink_cov
Linear-shrinkage estimator of population covariance matrix.
nlshrink
Package
nlshrink_cov
Non-linear shrinkage estimator of population covariance...
nlshrink_demo
Demonstration of non-linear shrinkage estimator of population...
tau_estimate
Non-linear shrinkage estimator of population eigenvalues.

Files in this package

nlshrink
nlshrink/NAMESPACE
nlshrink/R
nlshrink/R/nlshrink_cov.R
nlshrink/R/QuEST_grad.R
nlshrink/R/nlshrink.R
nlshrink/R/nlshrink_demo.R
nlshrink/R/tau_estimate.R
nlshrink/R/QuEST.R
nlshrink/R/linshrink.R
nlshrink/R/QuEST_wrappers.R
nlshrink/MD5
nlshrink/DESCRIPTION
nlshrink/man
nlshrink/man/ESD.Rd
nlshrink/man/nlshrink.Rd
nlshrink/man/linshrink.Rd
nlshrink/man/nlshrink_cov.Rd
nlshrink/man/tau_estimate.Rd
nlshrink/man/nlshrink_demo.Rd
nlshrink/man/lambda_estimate.Rd
nlshrink/man/linshrink_cov.Rd