Optimal Shrinkage of Eigenvalues in the Spiked Covariance Model

We show that in a common high-dimensional covariance model, the choice of loss function has a profound effect on optimal estimation. In an asymptotic framework based on the Spiked Covariance model and use of orthogonally invariant estimators, we show that optimal estimation of the population covariance matrix boils down to design of an optimal shrinker… (More)

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Citation Velocity: 12

Averaging 12 citations per year over the last 3 years.

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