SQDA: Sparse Quadratic Discriminant Analysis

Sparse Quadratic Discriminant Analysis (SQDA) can be performed. In SQDA, the covariance matrix are assumed to be block-diagonal.And, for each block, sparsity assumption is imposed on the covariance matrix. It is useful in high-dimensional setting.

AuthorJiehuan Sun
Date of publication2014-10-01 07:22:24
MaintainerJiehuan Sun <jiehuan.sun@yale.edu>

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