Non-Linear Shrinkage Estimation of Population Eigenvalues and Covariance Matrices
Compute the empirical spectral distribution (ESD) for a set of populat...
Generate sample eigenvalues from population eigenvalues
Linear-shrinkage estimator of population eigenvalues.
Linear-shrinkage estimator of population covariance matrix.
Package
Non-linear shrinkage estimator of population covariance matrix.
Demonstration of non-linear shrinkage estimator of population eigenval...
Non-linear shrinkage estimator of population eigenvalues.
Non-linear shrinkage estimation of population eigenvalues and covariance matrices, based on publications by Ledoit and Wolf (2004, 2015, 2016).