Package: nlshrink 1.0.1
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).
Authors:
nlshrink_1.0.1.tar.gz
nlshrink_1.0.1.zip(r-4.5)nlshrink_1.0.1.zip(r-4.4)nlshrink_1.0.1.zip(r-4.3)
nlshrink_1.0.1.tgz(r-4.4-any)nlshrink_1.0.1.tgz(r-4.3-any)
nlshrink_1.0.1.tar.gz(r-4.5-noble)nlshrink_1.0.1.tar.gz(r-4.4-noble)
nlshrink_1.0.1.tgz(r-4.4-emscripten)nlshrink_1.0.1.tgz(r-4.3-emscripten)
nlshrink.pdf |nlshrink.html✨
nlshrink/json (API)
| # Install 'nlshrink' in R: |
| install.packages('nlshrink', repos = c('https://pratik-r.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/pratik-r/nlshrink/issues
Last updated 2 years agofrom:6d8c0ba1e1. Checks:OK: 7. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Sep 06 2024 |
| R-4.5-win | OK | Sep 06 2024 |
| R-4.5-linux | OK | Sep 06 2024 |
| R-4.4-win | OK | Sep 06 2024 |
| R-4.4-mac | OK | Sep 06 2024 |
| R-4.3-win | OK | Sep 06 2024 |
| R-4.3-mac | OK | Sep 06 2024 |
Exports:ESDlambda_estimatelinshrinklinshrink_covnlshrink_covnlshrink_demotau_estimate
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Compute the empirical spectral distribution (ESD) for a set of population eigenvalues | ESD |
| Generate sample eigenvalues from population eigenvalues | lambda_estimate |
| Linear-shrinkage estimator of population eigenvalues. | linshrink |
| Linear-shrinkage estimator of population covariance matrix. | linshrink_cov |
| Package | nlshrink-package nlshrink |
| Non-linear shrinkage estimator of population covariance matrix. | nlshrink_cov |
| Demonstration of non-linear shrinkage estimator of population eigenvalues | nlshrink_demo |
| Non-linear shrinkage estimator of population eigenvalues. | tau_estimate |
