Multivariate Exponentially Weighted Moving Covariance Matrix.
Douglas M. HawkinsEdgard M. Maboudou-TchaoPublished in: Technometrics (2008)
Keyphrases
- covariance matrix
- multivariate normal
- multivariate gaussian
- covariance matrices
- principal component analysis
- sample size
- gaussian mixture
- pseudo inverse
- positive definite
- symmetric matrix
- geometrical interpretation
- correlation matrix
- mahalanobis distance
- eigenvalues and eigenvectors
- eigendecomposition
- class conditional densities
- cma es
- particle swarm optimization
- feature extraction
- regression model
- weighted graph
- gaussian distribution
- principal components