Random Matrix Improved Covariance Estimation for a Large Class of Metrics

Abstract: Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation for a wide family of metrics. The method is shown to largely outperform the sample covariance matrix estimate and to compete with state-of-the-art methods, while at the same time being computationally simpler. Applications to linear and quadratic discriminant analyses also demonstrate significant gains, therefore suggesting practical interest to statistical machine learning.