The nlShrinkLWEst estimator is numerically unstable in high dimensions when when at least one of leading n eigenvalues are approximately 0. I fixed this by including a tolerance level such that any eigenvalue smaller than 1e-4 is treated as a 0 by the estimator. This seems to have fixed the problem.
nlShrinkLWEstestimator is numerically unstable in high dimensions when when at least one of leadingneigenvalues are approximately 0. I fixed this by including a tolerance level such that any eigenvalue smaller than 1e-4 is treated as a 0 by the estimator. This seems to have fixed the problem.n<p