Robust Estimation of Inverse Covariance Matrix by Shrinkage Technique
Language
Japanese
Type
Proceedings of Japanese Conferences
Authors
Masakazu Iwamura, Shinichiro Omachi, Hirotomo Aso
Title
Robust Estimation of Inverse Covariance Matrix by Shrinkage Technique
Journal
IEICE Technical Report
Presentation number
PRMU2007-156
Reviewed
Not reviewed
Date
December 2007
Research fields
Pattern recognition
Key
Iwamura2007_IEICEPRMU_Robust (id=1001)
Abstract
In pattern recognition,
important measures including quadratic discriminant function (QDF)
and Mahalanobis distance (MD) depend on
the inverse of a covariance matrix.
Since estimation accuracy of the matrix roughly determines
pattern recognition performance,
we have proposed an estimating method using
``a shrinkage technique.''
In this paper, by introducing sphericity test and block
diagonalization to the method, we achieve
simplification and performance improvement.
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