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Covariance matrix regularization in knockoffs #149

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jpaillard opened this issue Feb 11, 2025 · 0 comments
Open

Covariance matrix regularization in knockoffs #149

jpaillard opened this issue Feb 11, 2025 · 0 comments
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enhancement New feature or request good first issue Good for newcomers method implementation Question regarding methods implementations

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@jpaillard
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jpaillard commented Feb 11, 2025 •
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This might be expensive. I think that having the increment fixed and pre-defined may not be optimal.
In PyRiemann, they have a more principled way for finding the nearest SPD matrix, using bisections, see: https://github.com/pyRiemann/pyRiemann/blob/409869629642f6f860417992090a8127c4a0d255/pyriemann/utils/base.py#L160-L200

Originally posted by @jpaillard in #128 (comment)
@jpaillard jpaillard added enhancement New feature or request good first issue Good for newcomers method implementation Question regarding methods implementations labels Feb 11, 2025
@jpaillard jpaillard mentioned this issue Feb 12, 2025
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@jpaillard jpaillard marked this as a duplicate of #150 Feb 12, 2025
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