Generalizing Analytic Shrinkage for Arbitrary Covariance Structures

NeurIPS 2013 Daniel BartzKlaus-Robert Müller

Analytic shrinkage is a statistical technique that offers a fast alternative to cross-validation for the regularization of covariance matrices and has appealing consistency properties. We show that the proof of consistency implies bounds on the growth rates of eigenvalues and their dispersion, which are often violated in data... (read more)

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