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math.ST2024
Wasserstein Projection Tests: Higher-Order Asymptotics and Connections to Empirical Likelihood
Sirui Lin, Jose Blanchet, Peter Glynn +1
Tests of moment restrictions can be constructed by projecting the empirical distribution onto the set of laws satisfying the null. Wasserstein projection (WP) performs this project…
stat.ML2024
A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set
Man-Chung Yue, Yves Rychener, Daniel Kuhn +1
The state-of-the-art methods for estimating high-dimensional covariance matrices all shrink the eigenvalues of the sample covariance matrix towards a data-insensitive shrinkage tar…