Structured covariance matrix estimation: a parametric approach.
Magnus JanssonBjörn E. OtterstenPublished in: ICASSP (2000)
Keyphrases
- covariance matrix
- multivariate gaussian
- covariance matrices
- estimation error
- maximum likelihood estimation
- sample size
- mahalanobis distance
- principal component analysis
- gaussian mixture
- parametric models
- geometrical interpretation
- positive definite
- semi parametric
- pseudo inverse
- objective function
- eigendecomposition
- parameter estimation
- principal components
- eigenvalues and eigenvectors
- high dimensional
- optimal solution