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

Package details

AuthorPratik Ramprasad [aut, cre]
MaintainerPratik Ramprasad <>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the nlshrink package in your browser

Any scripts or data that you put into this service are public.

nlshrink documentation built on May 1, 2019, 8:42 p.m.