Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator

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Authors: Viet Anh Nguyen, Daniel Kuhn, Peyman Mohajerin Esfahani

Journal title: Operations Research

Journal publisher: INFORMS

Published year: 2022

DOI identifier: 10.1287/opre.2020.2076

ISSN: 1526-5463