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math.ST2022
An Improvement on the Hotelling Test Using the Ledoit-Wolf Nonlinear Shrinkage Estimator
Benjamin D. Robinson, Robert Malinas, Van Latimer +2
Hotelling's test is a classical approach for discriminating the means of two multivariate normal samples that share a population covariance matrix. Hotelling's test is not id…
math.ST2021
High-Dimensional Covariance Shrinkage for Signal Detection
Benjamin D. Robinson, Robert Malinas, Alfred O. Hero
In this paper, we consider the problem of determining the presence of a given signal in a high-dimensional observation with unknown covariance matrix by using an adaptive matched f…