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03/16/2023
Anomaly Search Over Many Sequences With Switching Costs
This paper considers the quickest search problem to identify anomalies a...
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02/27/2023
The Local Ledoit-Peche Law
Ledoit and Peche proved convergence of certain functions of a random cov...
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02/25/2022
An Improvement on the Hotelling T^2 Test Using the Ledoit-Wolf Nonlinear Shrinkage Estimator
Hotelling's T^2 test is a classical approach for discriminating the mean...
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10/29/2020
