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Shrinkage was much en-vogue before RMT took everybody's attention, however the latter also showed its limits. A plethora of other estimators has been presented, but I could not yet spot a golden standard. What is nowadays used most in practice (or what are you using), and why? Also shrinkage came in different flavours, so I'd like to know among them which is the favourite.

Note that I'm not just asking for the statistical properties of different methods (this would be on crossvalidated in that case), but also their interplay with practical considerations here in the quant world, which might include even non-technical factors.

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I am guessing that RMT = Random Matrix Theory – Alex C Jun 8 '15 at 0:54
Yes, that's it. – Quartz Jun 8 '15 at 13:40

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