R-NL: Covariance Matrix Estimation for Elliptical Distributions based on Nonlinear Shrinkage

We combine Tyler's robust estimator of the dispersion matrix with nonlinear shrinkage. This approach delivers a simple and fast in elliptical models that is against both heavy tails high dimensions. prove convergence iterative part our algorithm demonstrate favorable performance wide range simulation scenarios. Finally, an empirical application demonstrates its state-of-the-art on real data.