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• W2736719673 abstract "The kernel trick concept, formulated as an inner product in a feature space, facilitates powerful extensions to many well-known algorithms. While the kernel matrix involves inner products in the feature space, the sample covariance matrix of the data requires outer products. Therefore, their spectral properties are tightly connected. This allows us to examine the kernel matrix through the sample covariance matrix in the feature space and vice versa. The use of kernels often involves a large number of features, compared to the number of observations. In this scenario, the sample covariance matrix is not well-conditioned nor is it necessarily invertible, mandating a solution to the problem of estimating high-dimensional covariance matrices under small sample size conditions. We tackle this problem through the use of a shrinkage estimator that offers a compromise between the sample covariance matrix and a well-conditioned matrix (also known as the target) with the aim of minimizing the mean-squared error (MSE). We propose a distribution-free kernel matrix regularization approach that is tuned directly from the kernel matrix, avoiding the need to address the feature space explicitly. Numerical simulations demonstrate that the proposed regularization is effective in classification tasks." @default.
• W2736719673 created "2017-07-31" @default.
• W2736719673 creator A5025477216 @default.
• W2736719673 date "2017-07-19" @default.
• W2736719673 modified "2023-09-27" @default.
• W2736719673 title "Regularization of the Kernel Matrix via Covariance Matrix Shrinkage Estimation" @default.
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