Covariance shrinkage for autocorrelated data
Daniel Bartz, Klaus-Robert Müller
–Neural Information Processing Systems
The accurate estimation of covariance matrices is essential for many signal processing and machine learning algorithms. In high dimensional settings the sample covariance is known to perform poorly, hence regularization strategies such as analytic shrinkage of Ledoit/Wolf are applied.
Neural Information Processing Systems
Feb-10-2025, 01:06:32 GMT