Random matrix improved covariance estimation for a large class of metrics*
Random matrix improved covariance estimation for a large class of metrics*
Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics. The method is shown to largely outperform the sample covariance matrix estimate and to compete with state-of-the-art methods, while …