Tyler's Covariance Matrix Estimator in Elliptical Models With Convex Structure.
Ilya SoloveychikAmi WieselPublished in: IEEE Trans. Signal Process. (2014)
Keyphrases
- covariance matrix
- principal component analysis
- sample size
- mahalanobis distance
- geometrical interpretation
- eigenvalues and eigenvectors
- covariance matrices
- estimation error
- gaussian mixture
- objective function
- optimization algorithm
- parameter estimation
- model selection
- maximum likelihood
- correlation matrix
- pseudo inverse
- bayesian networks