Hi Thanks for your reply. Could you just clarify this for me:
In: X = g*w*I + (1-g)*W Did you mean: X = g*w*I + (1-g)*V where V is the original covariance matrix ?? Cheers "Tony T. Warnock" <[EMAIL PROTECTED]> wrote in message [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > 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/ . =================================================================
