slrt {GSE}

LRT-based distances between matrices

Description

LRT-distance that we use to evaluate the performance of our covariance estimates.

Usage

slrt(S, trueS)

Arguments

S

estimated covariance matrix

trueS

true covariance matrix.

Details

Note that this is not actually a distance in a sense that slrt(M1,M2) != slrt(M2,M1)

Value

scalar LRT-distance

Author(s)

Mike Danilov

References

Seber, G.A. (2004) Multivariate observations, Wiley

Danilov, M. (2010). Robust Estimation of Multivariate Scatter under Non-Affine Equivariant Scenarios. Ph.D. thesis, Department of Statistics, University of British Columbia.