linshrink
estimates the population eigenvalues from the
sample eigenvalues by shrinking each sample eigenvalue towards the global
mean based on a shrinkage factor. Details in referenced publications.
1  linshrink(X, k = 0)

X 
A data matrix. 
k 
(Optional) Nonnegative integer less than 
A numeric vector of length ncol(X)
, containing the population
eigenvalue estimates sorted in ascending order.
Ledoit, O. and Wolf, M. (2004). A wellconditioned estimator for largedimensional covariance matrices. Journal of Multivariate Analysis, 88(2)
Ledoit, O. and Wolf, M. (2016). Numerical Implementation of the QuEST function. arXiv:1601.05870 [stat.CO]
1 2 
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