Spectrum estimation: A unified framework for covariance matrix estimation and PCA in large dimensions. - Olivier Ledoit; Michael Wolf (J. Multivar. Anal., 2015)

Numerical implementation of the QuEST function. - Olivier Ledoit; Michael Wolf (Comput. Stat. Data Anal., 2017)

Shrinkage estimation of large covariance matrices: Keep it simple, statistician? - Olivier Ledoit; Michael Wolf (J. Multivar. Anal., 2021)