Optimal high-dimensional shrinkage covariance estimation for elliptical distributions.
Esa OllilaPublished in: EUSIPCO (2017)
Keyphrases
- high dimensional
- dynamic programming
- accurate estimation
- covariance matrices
- estimation algorithm
- multi dimensional
- similarity search
- metric space
- high dimensionality
- kullback leibler distance
- intrinsic dimensionality
- sparse data
- estimation error
- microarray data
- feature extraction
- image denoising
- parameter estimation
- worst case
- pairwise
- feature space