A DC Programming Approach for Sparse Estimation of a Covariance Matrix.
Phan Duy NhatHoai An Le ThiTao Pham DinhPublished in: MCO (1) (2015)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- dc programming
- principal component analysis
- sample size
- geometrical interpretation
- exact penalty
- maximum likelihood
- high dimensional
- gaussian mixture model
- correlation matrix
- maximum likelihood estimation
- feature selection
- parameter estimation
- model selection
- em algorithm
- computational complexity