us"></script><!-- pkgdown --><link href="../pkgdown.css" rel="stylesheet"><script src="../pkgdown.js"></script><meta property="og:title" content="Ledoit-Wolf Linear Shrinkage Estimator — linearShrinkLWEst"><meta property="og:description" content="linearShrinkLWEst() computes an asymptotically optimal
convex combination of the sample covariance matrix and the identity matrix.
This convex combination effectively shrinks the eigenvalues of the sample
covariance matrix towards the identity. This estimator is 