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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
DOI: 10.32614/CRAN.package.nlshrink
Author: Pratik Ramprasad [aut, cre]
Maintainer: Pratik Ramprasad <pratik.ramprasad at gmail.com>
License: GPL-3
NeedsCompilation: no
CRAN checks: nlshrink results

Documentation:

Reference manual: nlshrink.pdf

Downloads:

Package source: nlshrink_1.0.1.tar.gz
Windows binaries: r-devel: nlshrink_1.0.1.zip, r-release: nlshrink_1.0.1.zip, r-oldrel: nlshrink_1.0.1.zip
macOS binaries: r-release (arm64): nlshrink_1.0.1.tgz, r-oldrel (arm64): nlshrink_1.0.1.tgz, r-release (x86_64): nlshrink_1.0.1.tgz, r-oldrel (x86_64): nlshrink_1.0.1.tgz

Reverse dependencies:

Reverse imports: xdcclarge
Reverse suggests: GGMncv

Linking:

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.