Class | Description |
---|---|
LedoitWolf2004 |
To estimate the covariance matrix, Ledoit and Wolf (2004) suggests using the
matrix obtained from the sample covariance matrix through a transformation
called shrinkage.
|
LedoitWolf2004.Result |
The estimator and some intermediate values computed by the algorithm.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.