Functionality for Covariance Estimation #35
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Made a baseline for implementation of parameter estimation functionality. The baseline includes a class for Covariance which holds methods for estimating the sample covariance and a linear shrinkage estimator. This may be implemented in other areas of the framework.
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Made a baseline for implementation of parameter estimation functionality. The baseline includes a class for Covariance which holds methods for estimating the sample covariance and a linear shrinkage estimator. This may be implemented in other areas of the framework.
Inspiration: https://dx.doi.org/10.2139/ssrn.433840