Random Matrix Improved Covariance Estimation for a Large Class of Metrics

7 Feb 2019Malik TiomokoFlorent BouchardGuillaume GinholacRomain 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. The method is shown to largely outperform the sample covariance matrix estimate and to compete with state-of-the-art methods, while at the same time being computationally simpler... (read more)

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