Regularized Diagonal Discriminant Analysis with Simultaneous Diagonalization of Covariance Matrices

John A. Ramey, Phil D. Young, and Dean M. Young.
Working Paper, Baylor University.

Availability:

• Working Paper.

Abstract. TODO

Keywords: Diagonal Discriminant Analysis, High-Dimensional Classification, Shrinkage Estimation, Simultaneous Diagonalization.

BibTeX Record:

@TechReport{ramey10efficientrda,
  author       = {John A. Ramey and Phil D. Young and Dean M. Young},
  title        = {Regularized Diagonal Discriminant Analysis with Simultaneous Diagonalization of Covariance Matrices}
  year         = 2010,
  institution  = {Baylor University},
  type         = {ERID Working Paper},
  number       = 50
}