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.
linshrink(X, k = 0)
A data matrix.
(Optional) Non-negative 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 well-conditioned estimator for large-dimensional 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]
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