nlshrink

Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices

CRAN Package

Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).

  • Version1.0.1
  • R version≥ 3.2.3
  • LicenseGPL-3
  • Needs compilation?No
  • Last release04/12/2016

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  • Depends1 package
  • Imports3 packages
  • Reverse Imports1 package
  • Reverse Suggests1 package