Ridge estimation of covariance matrix from data in two classes. (Q6584362)

scientific article; zbMATH DE number 7893330

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English	Ridge estimation of covariance matrix from data in two classes.	scientific article; zbMATH DE number 7893330

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instance of

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title

Ridge estimation of covariance matrix from data in two classes. (English)

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Applications of Mathematics

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publication date

7 August 2024

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zbMATH Keywords

covariance matrix

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ridge estimation

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two-class data

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contamination

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MaRDI profile type

Publication

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cites work

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Sparse estimation of a covariance matrix

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Estimating high dimensional covariance matrices: a new look at the Gaussian conjugate framework

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A calibration method for non-positive definite covariance matrix in multivariate data analysis

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Covariance matrix selection and estimation via penalised normal likelihood

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Covariance function versus covariance matrix estimation in efficient semi-parametric regression for longitudinal data analysis

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Comment: Ridge Regression and Regularization of Large Matrices

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A well-conditioned estimator for large-dimensional covariance matrices

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Regularized linear discriminant analysis based on generalized capped \(l_{2, q}\)-norm

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Geometric Distance Between Positive Definite Matrices of Different Dimensions

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On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices

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Coupled regularized sample covariance matrix estimator for multiple classes

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Linear pooling of sample covariance matrices

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Unified improvements in estimation of a normal covariance matrix in high and low dimensions

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Ridge estimation of inverse covariance matrices from high-dimensional data

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How close is the sample covariance matrix to the actual covariance matrix?

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Nonparametric estimation of large covariance matrices with conditional sparsity

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Penalized Normal Likelihood and Ridge Regularization of Correlation and Covariance Matrices

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Covariance-regularized regression and classification for high dimensional problems

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Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices

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Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix

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Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm

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Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution

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Elastic-net Regularized High-dimensional Negative Binomial Regression: Consistency and Weak Signal Detection

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Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum

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Identifiers

Mathematics Subject Classification ID

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10.21136/AM.2024.0157-23

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Sitelinks

Mathematics(1 entry)

mardi Publication:6584362