Covariance Matrix Estimation Under Low-Rank Factor Model With Nonnegative Correlations.
Rui ZhouJiaxi YingDaniel P. PalomarPublished in: IEEE Trans. Signal Process. (2022)
Keyphrases
- covariance matrix
- low rank
- matrix decomposition
- eigendecomposition
- correlation matrix
- low rank matrix
- data matrix
- singular value decomposition
- covariance matrices
- missing data
- convex optimization
- principal component analysis
- linear combination
- matrix factorization
- objective function
- nonnegative matrix factorization
- matrix completion
- high dimensional data
- semi supervised
- sample size
- kernel matrix
- high order
- regularized regression
- singular values
- nearest neighbor
- least squares
- pattern recognition
- data sets