Covariance matrix estimation in complex elliptic distributions using the expected likelihood approach.
Yuri I. AbramovichOlivier BessonPublished in: ICASSP (2013)
Keyphrases
- covariance matrix
- covariance matrices
- multivariate gaussian
- normal distribution
- maximum likelihood
- estimation error
- multivariate normal
- class conditional densities
- sample size
- principal component analysis
- gaussian mixture
- geometrical interpretation
- pseudo inverse
- positive definite
- objective function
- maximum likelihood estimation
- mahalanobis distance
- eigenvalues and eigenvectors
- bayesian networks
- vector space
- gaussian mixture model
- search space
- computational complexity