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Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights f

Publication: Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory. Published Apr 27, 2023.

arxiv.orgPublished Apr 27, 2023
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Overview

Publication: Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory. Published Apr 27, 2023.

Publication information

Publication title
Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory
Authors
Christian Bongiorno, Marco Berritta
Published
Apr 27, 2023
Last publication revision
Apr 28, 2023
Subject areas
cs.IT, physics.data-an, q-fin.ST, stat.OT
Publication source
arxiv.org · abs/2304.14098v2 ↗

Source: arXiv API · observed Oct 11, 2026.

Source links & provenance

https://arxiv.org/abs/2304.14098 ↗

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