Nonlinear shrinkage estimators
Nonlinear shrinkage estimators correspond to covariance estimators based on the eigendecomposition of the sample matrix:
F = eigen(X)
# ... (transformation of eigenvalues)
F.U*(d̃ .* F.U') # d̃ is a vector of transformed eigenvalues
Currently, only the analytical nonlinear shrinkage (AnalyticalNonlinearShrinkage
) method is implemented.