I have used the following based on "regularized discriminant analysis" (and I can't remember the author.)
If your matrix is V, then let w=Trace(V) and modify V by a fudge factor g (I use g in the range .02 to .05) with: X = g*w*I + (1-g)*W The idea is to move the matrix closer to the unit matrix but keep the trace the same. . . ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at: . http://jse.stat.ncsu.edu/ . =================================================================
