fixed nlShrinkLWEst function

PhilBoileau / cvCovEst

An R package for assumption-lean covariance matrix estimation in high dimensions

https://philboileau.github.io/cvCovEst/

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fixed nlShrinkLWEst function #26

Closed PhilBoileau closed 4 years ago

PhilBoileau commented 4 years ago

nlShrinkLWEst would return estimates with Inf entries when n = p or when the number of approximately non-zero eigenvalues was smaller than p. This PR fixes that error, and includes a test to make sure that it doesn't happen in the future.