Consistent Estimators of a New Class of Covariance Matrix Distances in the Large Dimensional Regime.
Roberto PereiraXavier MestreDavid GregorattiPublished in: ICASSP (2023)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- sample size
- multivariate normal
- geometrical interpretation
- gaussian mixture
- distance measure
- mahalanobis distance
- objective function
- positive definite
- correlation matrix
- pseudo inverse
- eigenvalues and eigenvectors
- eigendecomposition
- distance function
- similarity measure
- cma es