Generalized Bayes minimax estimation of the normal mean matrix with unknown covariance matrix.
Hisayuki TsukumaPublished in: J. Multivar. Anal. (2009)
Keyphrases
- auto correlation
- covariance matrix
- eigenvalue decomposition
- symmetric matrix
- estimation error
- relative entropy
- covariance matrices
- eigenvalues and eigenvectors
- sample size
- mahalanobis distance
- positive definite
- principal component analysis
- pseudo inverse
- geometrical interpretation
- eigendecomposition
- gaussian mixture
- correlation matrix
- worst case
- objective function
- cma es
- transformation matrix
- multivariate gaussian
- parameter estimation
- optimal solution