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Ahmad Koman

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Preprint Jul 2026

Error Propagation in Spectral Functionals of Shrinkage Covariance Estimators: Perturbation Bounds and Calibrated Inference

Rolling covariance estimates feed two objects that are routinely treated as market structure. The first is the dominant eigenspace, monitored through the projector movement $\widehat D_{K,t}=\|\widehat P_{K,t}-\widehat P_{K,t-1}\|_F$; the second comprises scalar spectral functionals such as the absorption ratio and the...

Ahmad Koman · 0 citations