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Generalizing Analytic Shrinkage for Arbitrary Covariance Structures
Published on Nov 07, 20141798 Views
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 th
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Chapter list
Generalizing Analytic Shrinkage for Arbitrary Covariance Structures 00:00
Violation of assumptions in real world data01:38
Is this problem?02:19
Automatic orthogonal complement shrinkage03:18