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nlshrink  

Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices
View on CRAN: Click here


Download and install nlshrink package within the R console
Install from CRAN:
install.packages("nlshrink")

Install from Github:
library("remotes")
install_github("cran/nlshrink")

Install by package version:
library("remotes")
install_version("nlshrink", "1.0.1")



Attach the package and use:
library("nlshrink")
Maintained by
Pratik Ramprasad
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2016-04-12
Latest Update: 2016-04-12
Description:
Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).
How to cite:
Pratik Ramprasad (2016). nlshrink: Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices. R package version 1.0.1, https://cran.r-project.org/web/packages/nlshrink. Accessed 04 Jan. 2025.
Previous versions and publish date:
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Other R packages that nlshrink depends, imports, suggests or enhances
Complete documentation for nlshrink
Functions, R codes and Examples using the nlshrink R package
Some associated functions: ESD . lambda_estimate . linshrink . linshrink_cov . nlshrink . nlshrink_cov . nlshrink_demo . tau_estimate . 
Some associated R codes: QuEST.R . QuEST_grad.R . QuEST_wrappers.R . linshrink.R . nlshrink.R . nlshrink_cov.R . nlshrink_demo.R . tau_estimate.R .  Full nlshrink package functions and examples
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