Class LedoitWolf2016


  • public class LedoitWolf2016
    extends Object
    This is Ledoit's non-linear shrinkage method for computing covariance matrixes when the dimension is large compared to the number of observations.
    See Also:
    • "Olivier Ledoit and Michael Wolf, "Numerical Implementation of the QuEST Function", 2016."
    • "Olivier Ledoit and Michael Wolf, "Spectrum Estimation: A Unified Framework for Covariance Matrix Estimation and PCA in Large Dimensions", 2015."
    • "Olivier Ledoit and Michael Wolf, "Nonlinear shrinkage estimation of large-dimensional covariance matrices." January 2012."
    • Constructor Detail

      • LedoitWolf2016

        public LedoitWolf2016()
      • LedoitWolf2016

        public LedoitWolf2016​(boolean unbiased)