RegularizedCovarianceMatrices.jl

Introduction

RegularizedCovarianceMatrices.jl is a Julia package that implements several regularized covariance matrices estimations.

Getting Started

Installation

julia> ] add RegularizedCovarianceMatrices

Example

using RegularizedCovarianceMatrices

n = 100
d = 2

data = rand(n, d)

estimator = ShrunkCovarianceMatrix(n, d, 0.1)
covariance_matrix = RegularizedCovarianceMatrices.fit(estimator, data)

Cite

@article{sampaio2024regularization,
  title={Regularization and optimization in model-based clustering},
  author={Sampaio, Raphael Araujo and Garcia, Joaquim Dias and Poggi, Marcus and Vidal, Thibaut},
  journal={Pattern Recognition},
  pages={110310},
  year={2024},
  publisher={Elsevier}
}