Asymptotic Properties of Robust Complex Covariance Matrix Estimates.
Mélanie MahotFrédéric PascalPhilippe ForsterJean Philippe OvarlezPublished in: IEEE Trans. Signal Process. (2013)
Keyphrases
- covariance matrix
- estimation error
- asymptotic properties
- covariance matrices
- principal component analysis
- mahalanobis distance
- sample size
- pseudo inverse
- geometrical interpretation
- positive definite
- multivariate gaussian
- gaussian mixture
- mahalanobis metric
- objective function
- machine learning
- fixed point
- special case
- symmetric matrix