A variational argument yields an asymptotically power-optimal covariance shrinker for high-dimensional Hotelling's T-squared tests under general covariance spectra.
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Spectrally Robust Covariance Shrinkage for Hotelling's $T^2$ in High Dimensions
A variational argument yields an asymptotically power-optimal covariance shrinker for high-dimensional Hotelling's T-squared tests under general covariance spectra.