3 papers
math.ST2025
Spectrally Robust Covariance Shrinkage for Hotelling's in High Dimensions
Benjamin D. Robinson, Van Latimer
We investigate covariance shrinkage for Hotelling's in the regime where the data dimension and the sample size grow in a fixed ratio -- without assuming that the popu…
math.ST2023
The Local Ledoit-Peche Law
Van Latimer, Benjamin D. Robinson
Ledoit and Peche proved convergence of certain functions of a random covariance matrix's resolvent; we refer to this as the Ledoit-Peche law. One important application of their res…
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…