RegularizedCovarianceMatrices.jl is a Julia package that implements several regularized covariance matrices estimations.
julia> ] add RegularizedCovarianceMatricesusing RegularizedCovarianceMatrices
n = 100
d = 2
data = rand(n, d)
estimator = ShrunkCovarianceMatrix(n, d, 0.1)
covariance_matrix = RegularizedCovarianceMatrices.fit(estimator, data)
@article{sampaio2024regularization,
title={Regularization and optimization in model-based clustering},
author={Sampaio, Raphael Araujo and Garcia, Joaquim Dias and Poggi, Marcus and Vidal, Thibaut},
journal={Pattern Recognition},
pages={110310},
year={2024},
publisher={Elsevier}
}