Optimal Covariance Estimation for Condition Number Loss in the Spiked Model

David L. Donoho, Behrooz Ghorbani

We study estimation of the covariance matrix under relative condition number loss $\kappa ({\Sigma }^{-1/2}\hat{\Sigma }{\Sigma }^{-1/2})$, where $\kappa (\Delta )$ is the condition number of matrix $\Delta$, and $\hat{\Sigma }$ and…