I recently used a R package CovTools in R with the command CovEst.2003LW(X), where X is your sample covariance matrix as an input, to compute the shrunk covariance matrix (an estimate that is closest to the true covariance matrix). For reference, the package resides here:
https://search.r-project.org/CRAN/refmans/CovTools/html/CovEst.2003LW.html
Can any portfolio optimization or R experts provide their insights into whether this package is trustable? The package is based on the famous paper "Honey, I Shrunk the Sample Covariance Matrix" by Ledoit and Wolf (2003).
RiskPortfolios::covEstimation
orBurStFin::var.shrink.eqcor
), so you also compare results. $\endgroup$