[R-SIG-Finance] OAS vs Ledoit-Wolf covariance shrinkage?

matt at considine.net matt at considine.net
Mon Dec 10 15:17:43 CET 2012

Is anyone here aware of an R implementation of the oracle  
approximating shrinkage technique (e.g.  
http://arxiv.org/pdf/0907.4698.pdf), which could be used instead of  
Ledoit-Wolf in the shrinkage of covariance routines?  I can't find any  
code implementations of this to use as a guide and would be interested  
in any pointers.
Thanks in advance,

More information about the R-SIG-Finance mailing list