nlshrink: Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices

Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).

Version: 1.0.1
Depends: R (≥ 3.2.3)
Imports: stats (≥ 3.2.3), MASS (≥ 7.3-45), nloptr (≥ 1.0.4), graphics (≥ 3.2.3)
Published: 2016-04-12
Author: Pratik Ramprasad [aut, cre]
Maintainer: Pratik Ramprasad <pratik.ramprasad at>
License: GPL-3
NeedsCompilation: no
CRAN checks: nlshrink results


Reference manual: nlshrink.pdf
Package source: nlshrink_1.0.1.tar.gz
Windows binaries: r-devel:, r-release:, r-oldrel:
OS X Mavericks binaries: r-release: nlshrink_1.0.1.tgz, r-oldrel: nlshrink_1.0.1.tgz


Please use the canonical form to link to this page.