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Detail of Publication

Text Language Japanese
Authors Masakazu Iwamura, Shinichiro Omachi,and Hirotomo Aso
Title Robust Estimation of Inverse Covariance Matrix by Shrinkage Technique
Journal IEICE Technical Report
Presentation number PRMU2007-156
Reviewed or not Not reviewed
Month & Year December 2007
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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