A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set

Fuente: arXiv

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Bibliographic Details
Main Authors:	Yue, Man-Chung, Rychener, Yves, Kuhn, Daniel, Nguyen, Viet Anh
Format:	Preprint
Published:	2024
Subjects:	Machine Learning Optimization and Control
Online Access:	Acceder al recurso
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Internet

https://arxiv.org/abs/2405.20124