Expected likelihood approach for covariance matrix estimation: Complex angular central Gaussian case.
Yuri I. AbramovichBen A. JohnsonPublished in: SAM (2012)
Keyphrases
- em algorithm
- maximum likelihood
- covariance matrices
- maximum likelihood estimation
- covariance matrix
- multivariate gaussian
- gaussian mixture
- parameter estimation
- gaussian mixture model
- estimation error
- gaussian distribution
- normal distribution
- computationally expensive
- sample size
- positive definite
- correlation matrix
- geometrical interpretation
- pseudo inverse
- machine learning
- transformation matrix
- optimization algorithm
- probability distribution
- genetic algorithm