Minimum density power divergence estimator for covariance matrix based on skew $$t$$ t distribution.
Byungsoo KimSangyeol LeePublished in: Stat. Methods Appl. (2014)
Keyphrases
- covariance matrix
- normal distribution
- relative entropy
- covariance matrices
- estimation error
- kl divergence
- mahalanobis distance
- principal component analysis
- gaussian mixture
- positive definite
- sample size
- objective function
- maximum likelihood
- geometrical interpretation
- multivariate gaussian
- density function
- least squares
- probability distribution
- aspect ratio
- eigendecomposition
- maximum likelihood estimator
- pseudo inverse
- probability density function
- data distribution
- model selection
- image processing
- feature selection
- machine learning