Bushehr

2 articles on SOTA Papers

Rank-Based Nonlinear Shrinkage Targets Heavy-Tailed Covariance Estimation

MENS estimates high-dimensional latent covariance in nonparanormal models by applying oracle nonlinear shrinkage to normal-scores rank covariance eigenvalues.

math.ST

Jul 28, 20263 min2607.20576

Mathematics

Rank-Based Shrinkage Targets Heavy-Tailed Financial Covariance

MENS combines normal-scores ranks with nonlinear eigenvalue shrinkage to estimate covariance in nonparanormal financial models.

math.ST

Jul 28, 20264 min2607.19825