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microprediction authored Oct 14, 2024
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## Shrinking the eigenvalues of M-estimators of covariance matrix [pdf](https://arxiv.org/pdf/2006.10005)
Daniel P. Palomar, Fred´ eric Pascal
Daniel P. Palomar, Frederic Pascal

A highly popular regularized (shrinkage) covariance
matrix estimator is the shrinkage sample covariance matrix
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