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nlshrink (version 1.0.1)
Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices
Description
Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).
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Version
Version
1.0.1
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Install
install.packages('nlshrink')
Monthly Downloads
208
Version
1.0.1
License
GPL-3
Maintainer
Pratik Ramprasad
Last Published
April 11th, 2016
Functions in nlshrink (1.0.1)
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lambda_estimate
Generate sample eigenvalues from population eigenvalues
ESD
Compute the empirical spectral distribution (ESD) for a set of population eigenvalues
nlshrink_cov
Non-linear shrinkage estimator of population covariance matrix.
linshrink_cov
Linear-shrinkage estimator of population covariance matrix.
nlshrink_demo
Demonstration of non-linear shrinkage estimator of population eigenvalues
tau_estimate
Non-linear shrinkage estimator of population eigenvalues.
linshrink
Linear-shrinkage estimator of population eigenvalues.
nlshrink
Package