Author

Michael J. Lewis

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Preprint Oct 2026

Extending the Oracle Approximating Shrinkage to General Distributions

The Oracle Approximating Shrinkage (OAS) estimator provides a closed-form, data-driven shrinkage intensity for regularizing sample covariance matrices toward a scaled identity target, but its derivation assumes Gaussian data. In practice, financial returns, neural signals, and many other high-dimensional datasets exhib...

Michael J. Lewis · 0 citations