A variational argument yields an asymptotically power-optimal covariance shrinker for high-dimensional Hotelling's T-squared tests under general covariance spectra.
On the Local Regularity of the Hilbert Transform
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In this paper the local regularity of the Hilbert transform is considered, and local smoothness and real analyticity results are obtained.
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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.