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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:

Please use the canonical form https://CRAN.R-project.org/package=nlshrink to link to this page.

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.
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