Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions.
Yuki IkedaTatsuya KubokawaMuni S. SrivastavaPublished in: Comput. Stat. Data Anal. (2016)
Keyphrases
- covariance matrix
- normal distribution
- pseudo inverse
- covariance matrices
- sample size
- mixture distribution
- symmetric matrix
- principal component analysis
- gaussian mixture
- objective function
- denoising
- multivariate gaussian
- principal components
- cma es
- correlation matrix
- genetic algorithm
- mixture model
- statistical analysis
- language model
- high dimensional
- geometrical interpretation
- image processing