Introduces symmetry-aware convex shrinkage estimators for covariance matrices by selecting a symmetry group via held-out predictive performance, generalizing Ledoit-Wolf and group-symmetric MLE with theoretical bounds and real-data tests.
Olivier Ledoit and Michael Wolf
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Symmetry-Aware Convex Shrinkage for High-Dimensional Covariance Estimation
Introduces symmetry-aware convex shrinkage estimators for covariance matrices by selecting a symmetry group via held-out predictive performance, generalizing Ledoit-Wolf and group-symmetric MLE with theoretical bounds and real-data tests.