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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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Install

install.packages('nlshrink')

Monthly Downloads

224

Version

1.0.1

License

GPL-3

Maintainer

Pratik Ramprasad

Last Published

April 11th, 2016

Functions in nlshrink (1.0.1)

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

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