3 papers
math.ST2025
WeSpeR: Computing non-linear shrinkage formulas for the weighted sample covariance
Benoit Oriol
We address the issue of computing the non-linear shrinkage formulas for the weighted sample covariance in high dimension. We use theoretical properties of the asymptotic sample spe…
math.ST2025
Asymptotic non-linear shrinkage and eigenvector overlap for weighted sample covariance
Benoit Oriol
We compute asymptotic non-linear shrinkage formulas for covariance and precision matrix estimators for weighted sample covariances, and the joint sample-population eigenvector over…
math.ST2025
Analysis of a multi-target linear shrinkage covariance estimator
Benoit Oriol
Multi-target linear shrinkage is an extension of the standard single-target linear shrinkage for covariance estimation. We combine several constant matrices - the targets - with th…