Shrinking the Eigenvalues of M-Estimators of Covariance Matrix.
Esa OllilaDaniel P. PalomarFrédéric PascalPublished in: IEEE Trans. Signal Process. (2021)
Keyphrases
- covariance matrix
- covariance matrices
- sample size
- principal component analysis
- eigenvalues and eigenvectors
- correlation matrix
- mahalanobis distance
- gaussian mixture
- eigendecomposition
- objective function
- geometrical interpretation
- positive definite
- multivariate gaussian
- pseudo inverse
- principal components
- random projections
- simulated annealing