A new nested Cholesky decomposition and estimation for the covariance matrix of bivariate longitudinal data.
Sanying FengHeng LianLiugen XuePublished in: Comput. Stat. Data Anal. (2016)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- sample size
- principal component analysis
- gaussian mixture
- eigenvalues and eigenvectors
- geometrical interpretation
- multivariate gaussian
- mahalanobis distance
- positive definite
- class conditional densities
- correlation matrix
- transformation matrix
- eigendecomposition
- pseudo inverse
- parameter estimation
- objective function
- optimal solution
- symmetric matrix
- genetic algorithm