Bootstrapping heteroskedasticity consistent covariance matrix estimator.
Emmanuel FlachairePublished in: Comput. Stat. (2002)
Keyphrases
- covariance matrix
- covariance matrices
- estimation error
- maximum likelihood
- mahalanobis distance
- principal component analysis
- sample size
- least squares
- pseudo inverse
- gaussian mixture
- correlation matrix
- positive definite
- eigenvalues and eigenvectors
- multivariate normal
- optimization algorithm
- objective function
- multivariate gaussian
- class conditional densities