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Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators.
Romain Couillet
Matthew R. McKay
Published in:
J. Multivar. Anal. (2014)
Keyphrases
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covariance matrix
covariance matrices
estimation error
positive definite
geometrical interpretation
search algorithm
search space
denoising
optimization algorithm
optimization methods
mahalanobis distance
eigendecomposition
pseudo inverse