Ledoit-Wolf linear shrinkage with unknown mean

This work addresses large dimensional covariance matrix estimation with unknown mean. The empirical covariance estimator fails when dimension and number of samples are proportional and tend to infinity, settings known as Kolmogorov asymptotics. When the mean is known, Ledoit and Wolf (2004) proposed a linear shrinkage estimator and proved its convergence under those asymptotics. To the best of our knowledge, no formal proof has been proposed when the mean is unknown. To address this issue, we propose a new estimator and prove its quadratic convergence under the Ledoit and Wolf assumptions. Finally, we show empirically that it outperforms other standard estimators.