Coupled regularized sample covariance matrix estimator for multiple classes

no code implementations • 9 Nov 2020 • Elias Raninen, Esa Ollila

In this work, we consider regularized SCM (RSCM) estimators for multiclass problems that couple together two different target matrices for regularization: the pooled (average) SCM of the classes and the scaled identity matrix.

Linear pooling of sample covariance matrices

1 code implementation • 13 Aug 2020 • Elias Raninen, David E. Tyler, Esa Ollila

We consider the problem of estimating high-dimensional covariance matrices of $K$-populations or classes in the setting where the sample sizes are comparable to the data dimension.

Methodology