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Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions

Non-normal DistributionsEngineeringHigh-dimensional MethodLarge Covariance MatrixBiostatisticsStatistical InferenceEstimation TheoryMultivariate AnalysisStatisticsLow-rank ApproximationLinear Shrinkage EstimatorsSemi-nonparametric Estimation