Class NonlinearShrinkageEstimator


  • public class NonlinearShrinkageEstimator
    extends Object
    The nonlinear shrinkage method for given population eigenvalues. nlshrink_est in nlshrink_cov.R
    • Constructor Detail

      • NonlinearShrinkageEstimator

        public NonlinearShrinkageEstimator​(Vector tau,
                                           int n)
      • NonlinearShrinkageEstimator

        public NonlinearShrinkageEstimator​(QuEST.Result quest)
    • Method Detail

      • nonlinearShrunkEigenvalues

        public Vector nonlinearShrunkEigenvalues()
        Gets the nonlinear shrinkage eigenvalues in ascending order.
        Returns:
        the nonlinear shrinkage eigenvalues in ascending order