Random Matrix Improved Covariance Estimation for a Large Class of Metrics

Relying on recent advances in statistical estimation of covariance distances based on random matrix theory, this article proposes an improved covariance and precision matrix estimation method for a wide family of metrics. This method is shown to largely outperform the sample covariance matrix estimate and to compete with state-of-the-art methods, while at the same time being computationally simpler and faster. Applications to linear and quadratic discriminant analyses also show significant gains, therefore suggesting a practical relevance for statistical machine learning.