First-order null laws, kurtosis-immunity characterizations, and a spike-debiased absorption-ratio estimator are derived for spectral functionals of shrinkage covariance estimators on overlapping rolling windows.
On estimation of the noise variance in high dimensional probabilistic principal component analysis
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Error Propagation in Spectral Functionals of Shrinkage Covariance Estimators: Perturbation Bounds and Calibrated Inference
First-order null laws, kurtosis-immunity characterizations, and a spike-debiased absorption-ratio estimator are derived for spectral functionals of shrinkage covariance estimators on overlapping rolling windows.