nonlinshrink 0.5

Non-Linear Shrinkage Estimator from Ledoit and Wolf (2018)

Non-Linear Shrinkage

Provides a function that calculates an estimate of the covariance matrix shrunk using a non-linear analytic formula provided by the working paper Ledoit and Wolf (2018), entitled ['Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices'] (http://www.econ.uzh.ch/static/wp/econwp264.pdf).

Installation

pip install nonlinshrink

Usage

import numpy as np
import nonlinshrink as nls
p = 2
n = 10
sigma = np.eye(p, p)
data = np.random.multivariate_normal(np.zeros(p), sigma, n)
sigma_tilde = nls.shrink_cov(data)

Developing

Please submit a PR! The shrinkage function itself is located in import nonlinshrink.py.