arXiv Machine Learning November 2, 2026 By Even He, Zaizai Yan

Cross-Fitted Clipped Covariance Estimation with a Data-Driven Tail-Energy Criterion

Read the original on arXiv Machine Learning →

arXiv:2602. 14020v2 Announce Type: replace-cross Abstract: Heavy-tailed data make covariance estimation sensitive to the clipping level: stronger clipping reduces variance but increases bias.

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