arXiv Machine Learning By Mathieu Chalvidal, Florentin Coeurdoux, Eric Vanden-Eijnden

Covariance Shrinkage via Stochastic Interpolation

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arXiv:2606. 07382v1 Announce Type: new Abstract: We recast classical shrinkage of high-dimensional covariance estimators as empirical risk minimization over a parametric stochastic interpolant between a source and a target distribution.

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