Covariance Matrix Estimation for Interest-Rate Risk Modeling via Smooth and Monotone Regularization.
Dmitry M. MalioutovAycan A. CorumMüjdat ÇetinPublished in: IEEE J. Sel. Top. Signal Process. (2016)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- sample size
- gaussian mixture
- parameter estimation
- geometrical interpretation
- mahalanobis distance
- positive definite
- eigenvalues and eigenvectors
- multivariate gaussian
- pseudo inverse
- correlation matrix
- eigendecomposition
- upper bound
- machine learning
- class conditional densities
- gaussian mixture model
- special case