This PR adds three new shrinkage estimators derived specifically for use in Gaussian spiked covariance models, addressing issue #63. These are the spikedOperatorShrinkEst(), the spikedFrobeniusShrinkEst() and the spikedSteinShrinkEst(). They provide the asymptotically optimal shrinkage of the sample covariance matrix eigenvalues with respect to the operator, Frobenius and Stein losses, respectively, in Gaussian spiked covariance models.
This PR adds three new shrinkage estimators derived specifically for use in Gaussian spiked covariance models, addressing issue #63. These are the
spikedOperatorShrinkEst(), thespikedFrobeniusShrinkEst()and thespikedSteinShrinkEst(). They provide the asymptotically optimal shrinkage of the sample covariance matrix eigenvalues with respect to the operator, Frobenius and Stein losses, respectively, in Gaussian spiked covariance models.