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).

AuthorPratik Ramprasad [aut, cre]
Date of publication2016-04-12 00:55:21
MaintainerPratik Ramprasad <pratik.ramprasad@gmail.com>
LicenseGPL-3
Version1.0.1

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