feat: add Ledoit-Wolf 2020 analytical nonlinear shrinkage estimator - #758
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dhairya-motta wants to merge 1 commit into
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feat: add Ledoit-Wolf 2020 analytical nonlinear shrinkage estimator#758dhairya-motta wants to merge 1 commit into
dhairya-motta wants to merge 1 commit into
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This PR adds the Analytical Nonlinear Shrinkage estimator introduced in Ledoit and Wolf (2020), which provides an optimal correction for the sample eigenvalues using a closed-form formula derived from random matrix theory, rather than a single global shrinkage intensity.
Changes:
analytical_nonlinear_shrinkage()inCovarianceShrinkage(pypfopt/risk_models.py).risk_matrix()dispatcher.risk_matrixdocstrings.tests/test_risk_models.py.Reference: Ledoit, O. and Wolf, M. (2020). Analytical Nonlinear Shrinkage of Large-Dimensional Covariance Matrices. Annals of Statistics, 48(5).