Random Matrix Improved Covariance Estimation for a Large Class of Metrics

no code implementations • 7 Feb 2019 • Malik Tiomoko, Florent Bouchard, Guillaume Ginholac, Romain Couillet

Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics.

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