In many astrophysical settings, covariance matrices of large data sets have to be determined empirically from a finite number of mock realizations. The resulting noise degrades inference and precludes it… Click to show full abstract
In many astrophysical settings, covariance matrices of large data sets have to be determined empirically from a finite number of mock realizations. The resulting noise degrades inference and precludes it completely if there are fewer realizations than data points. This work applies a recently proposed non-linear shrinkage estimator of covariance to a realistic example from large-scale structure cosmology. After optimizing its performance for the usage in likelihood expressions, the shrinkage estimator yields subdominant bias and variance comparable to that of the standard estimator with a factor of ∼50 less realizations. This is achieved without any prior information on the properties of the data or the structure of the covariance matrix, at a negligible computational cost.
               
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