On the Probability That All Eigenvalues of Gaussian, Wishart, and Double Wishart Random Matrices Lie Within an Interval.
Marco ChianiPublished in: IEEE Trans. Inf. Theory (2017)
Keyphrases
- positive definite
- covariance matrix
- covariance matrices
- symmetric matrices
- kernel matrix
- kernel function
- maximum likelihood
- singular value decomposition
- eigendecomposition
- geometric structure
- principal components
- gaussian mixture
- correlation matrix
- singular values
- model selection
- gaussian mixture model
- eigenvalues and eigenvectors
- heavy tailed
- adjacency matrix
- linear combination
- independent and identically distributed
- semi parametric
- probability functions
- diffusion tensor
- gaussian distribution