Cross-Fitted Clipped Covariance Estimation with a Data-Driven Tail-Energy Criterion

arXiv:2602.14020v2 Announce Type: replace-cross 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.