Detecting the large entries of a sparse covariance matrix in sub-quadratic time.
Ofer ShwartzBoaz NadlerPublished in: CoRR (2015)
Keyphrases
- covariance matrix
- symmetric matrix
- covariance matrices
- objective function
- principal component analysis
- sample size
- eigenvalue decomposition
- gaussian mixture
- computational complexity
- high dimensional
- eigenvalues and eigenvectors
- pseudo inverse
- eigendecomposition
- positive definite
- mahalanobis distance
- estimation error
- pairwise
- correlation matrix
- sparse representation
- multivariate gaussian
- upper bound
- geometrical interpretation
- machine learning
- independent component analysis
- vector space
- worst case