Package dev.nm.stat.covariance.nlshrink
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Class Summary 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 algorithmNonlinearShrinkageEstimator The nonlinear shrinkage method for given population eigenvalues.TauEstimator Non-linear shrinkage estimator of population eigenvalues.