Class | Description |
---|---|
LedoitWolf2016 |
This is Ledoit's non-linear shrinkage method for computing covariance
matrixes when the dimension is large compared to the number of observations.
|
LedoitWolf2016.Result |
the estimator and some intermediate values computed by the algorithm
|
NonlinearShrinkageEstimator |
The nonlinear shrinkage method for given population eigenvalues.
|
TauEstimator |
Non-linear shrinkage estimator of population eigenvalues.
|
Copyright © 2010-2020 NM FinTech Ltd.. All Rights Reserved.