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q-fin.ST2025
Holdout cross-validation for large non-Gaussian covariance matrix estimation using Weingarten calculus
Lamia Lamrani, Benoît Collins, Jean-Philippe Bouchaud
Cross-validation is one of the most widely used methods for model selection and evaluation; its efficiency for large covariance matrix estimation appears robust in practice, but li…
math.FA2025
Operator-valued Khintchine inequality for -free semicircles
Benoît Collins, Akihiro Miyagawa
We exhibit several bounds for operator norms of the sum of -free semicircular random variables introduced in the paper of Speicher and Wysoczański. In particular, using the firs…