Optimal Covariance Cleaning for Heavy-Tailed Distributions: Insights from Information Theory
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-DES-2023-05-29 (Economic Design)
- NEP-ECM-2023-05-29 (Econometrics)
- NEP-RMG-2023-05-29 (Risk Management)
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