Closed PhilBoileau closed 3 years ago
The dense linear shrinkage estimator was exhibiting some odd behaviour -- the dense target matrix was almost always returned. I reviewed the original derivation in Schafer et al and updated the estimator.
The dense linear shrinkage estimator was exhibiting some odd behaviour -- the dense target matrix was almost always returned. I reviewed the original derivation in Schafer et al and updated the estimator.