A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set.
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| Title: | A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set. |
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| Authors: | Yue, Man-Chung1 (AUTHOR) mcyue@hku.hk, Rychener, Yves2 (AUTHOR) yves.rychener@epfl.ch, Kuhn, Daniel2 (AUTHOR) daniel.kuhn@epfl.ch, Nguyen, Viet Anh3 (AUTHOR) nguyen@se.cuhk.edu.hk |
| Source: | Operations Research. May/Jun2026, Vol. 74 Issue 3, p1710-1728. 19p. |
| Database: | Business Source Ultimate |
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