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…