Covariance Matrix Estimation from Correlated Samples.
Wei CuiXu ZhangYulong LiuPublished in: CoRR (2018)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- correlation matrix
- sample size
- pseudo inverse
- geometrical interpretation
- eigendecomposition
- gaussian mixture
- training samples
- multivariate gaussian
- eigenvalues and eigenvectors
- objective function
- positive definite
- transformation matrix
- maximum likelihood estimation
- symmetric matrix