# Linear-shrinkage estimator of population covariance matrix.

### Description

The linear shrinkage estimator of the population covariance matrix is computed by shrinking the sample covariance matrix towards the identity matrix based on a shrinkage factor. Note that the eigenvalues of the population covariance matrix estimate are not the same as the linear shrinkage estimates of population eigenvalues. Details in referenced publication.

### Usage

1 | ```
linshrink_cov(X, k = 0)
``` |

### Arguments

`X` |
A data matrix. |

`k` |
(Optional) Non-negative integer less than |

### Value

Population covariance matrix estimate. A square positive
semi-definite matrix of dimension `ncol(X)`

.

### References

Ledoit, O. and Wolf, M. (2004). A well-conditioned estimator for large-dimensional covariance matrices. Journal of Multivariate Analysis, 88(2)

### Examples

1 2 |