Implementing new methods

[AlexPars]

Could you please consider adding the following methods to your package?

The methods are described in the following references:

• https://academic.oup.com/jfec/advance-article-abstract/doi/10.1093/jjfinec/nbaa007/5861007
• https://academic.oup.com/rfs/article-abstract/30/12/4349/3863121
• https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3662143
• https://academic.oup.com/jfec/advance-article-abstract/doi/10.1093/jjfinec/nby033/5285483
• https://academic.oup.com/jfec/advance-article-abstract/doi/10.1093/jjfinec/nbaa020/5960228
• https://arxiv.org/abs/1905.13276
• https://link.springer.com/article/10.1007/s00500-020-04840-9
• https://arxiv.org/abs/2012.02698
• https://www.tandfonline.com/doi/full/10.1080/07350015.2020.1713795
• https://arxiv.org/abs/2012.05757
• https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3722136
• https://www.sciencedirect.com/science/article/pii/S0047259X20302918
• https://www.tandfonline.com/doi/full/10.1080/02664763.2019.1695760

Thank you

[PhilBoileau]

Thank you for compiling these suggestions, @AlexPars. Some of the requested estimators have already been implemented (e.g. linearShrinkLWEst() and nlShrinkLWEst() from the first article). Also, the last article doesn't seem to describe a covariance matrix estimator.

Can you please carefully review these papers, and create separate issues for the estimators that you would like to see included? A brief description of the estimator would also be helpful. Once you've done that, you're very welcome to try your hand at implementing some of them yourself. Some instructions on contributing to cvCovEst can be found here.

[PhilBoileau]

Closing due to inactivity.