Classifying elliptically distributed observations using the Ledoit-Wolf shrinkage approach

DOI10.1016/J.JMVA.2025.105495MaRDI QIDQ6924007zbMATH OpenFDO

Authors Rasoul Lotfi, Davood Shahsavani, M. Arashi

Publication date 30 September 2025

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2025.105495

zbMATH Keywords

classificationdiscriminant ruleelliptical distributionsmisclassification errorshrinkagesingular covariance

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Multivariate analysis (62H99) Ridge regression; shrinkage estimators (Lasso) (62J07)

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