AI & ML
Cross-Fitted Clipped Covariance Estimation with a Data-Driven Tail-Energy Criterion
arXiv stat.ML0 views
arXiv:2602.14020v2 Announce Type: replace Abstract: Heavy-tailed data make covariance estimation sensitive to the clipping level: stronger clipping reduces variance but increases bias. We study how to choose this clipping level from the data within a radial clipped covariance family. We propose the quantile tail-energy surrogate (QTES), a fully data-driven rule that combines a cross-fitted variance certificate with a held-out estimate of the tail energy removed by clipping. QTES requires no distributional prior parameters. For Euclidean clipping, the operator-norm bias is bounded by this scalar tail-energy quantity. Under a finite $L_4$ moment condition, together with a mild feasibility condition for the QTES block construction, we prove a uniform finite-sample calibration bound over a positive clipping grid and a finite-sample guarantee for the estimator selected by QTES, relative to the best candidate on that grid under the same variance-plus-bias criterion. Experiments on clean heavy-tailed and contaminated benchmarks show that QTES performs strongly across both regimes and remains competitive with the best reference methods considered.
Source:https://arxiv.org/abs/2602.14020PreviousCritically-Damped Higher-Order Langevin Dynamics for Generative ModelingNextCo-optimization for Adaptive Conformal Prediction
Related posts
ISC Stormcast For Friday, November 6th, 2026 https://isc.sans.edu/podcastdetail/10168, (Fri, Nov 6th)
0SANS ISC
Astra did 40% less safety work — OpenAI's own report
0dev.to Discuss

The Facilitator's Stack: A Checklist From Invitation to Follow-Up
0dev.to Productivity
Wabi Not for You? Pick the Right Alternative by What You Actually Need
0dev.to Productivity

RAG vs fine-tuning: which should your LLM app use?
0dev.to Machine Learning
When two independent model panels both say an MMLU answer key is wrong, experts found an error 1 time in 3
0dev.to Machine Learning