Testing the structure of the covariance matrix with fewer observations than the dimension.
Muni S. SrivastavaN. ReidPublished in: J. Multivar. Anal. (2012)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- eigenvalues and eigenvectors
- multivariate gaussian
- multivariate normal
- mahalanobis distance
- positive definite
- pseudo inverse
- geometrical interpretation
- class conditional densities
- feature selection
- estimation error
- eigendecomposition
- transformation matrix
- correlation matrix