I am wondering what is behind matlab 'Regularize' option for method gmdistribution.fit. If it is simply adding a 'little' value to diagonal elements of covariance matrix, so as to make covariance matrix inversible, is convergence of fit algorithm guaranteed? Is some more sophisticated method used here, like shrinkage covariance regularization?
Doc for this function is here.
In general, what do you think of adding small value (for instance 10E-4!) to diagonal elements? Is convergence guaranteed?