Estimating a covariance matrix from incomplete realizations of a random vector.
Leonid I. PerlovskyThomas L. MarzettaPublished in: IEEE Trans. Signal Process. (1992)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- sample size
- positive definite
- mahalanobis distance
- eigenvalues and eigenvectors
- eigendecomposition
- geometrical interpretation
- symmetric matrix
- gaussian mixture
- principal components
- objective function
- correlation matrix
- pseudo inverse
- estimation error
- random variables
- computer vision
- multivariate gaussian
- high dimensional