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).

Install the latest version of this package by entering the following in R:
install.packages("nlshrink")
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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