An approximate leave-one-out cross-validation objective, built from weights of the full-data regularized Tyler estimator, selects the shrinkage coefficient at a fraction of the exact LOOCV cost.
Automatic diagonal loading for Tyler’s robust covariance estimator,
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Efficient Estimation of Regularized Tyler's M-Estimator Using Approximate LOOCV
An approximate leave-one-out cross-validation objective, built from weights of the full-data regularized Tyler estimator, selects the shrinkage coefficient at a fraction of the exact LOOCV cost.