An exact test about the covariance matrix.
Arjun K. GuptaTaras BodnarPublished in: J. Multivar. Anal. (2014)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- sample size
- eigenvalues and eigenvectors
- positive definite
- normal distribution
- gaussian mixture
- mahalanobis distance
- geometrical interpretation
- eigendecomposition
- correlation matrix
- pseudo inverse
- multivariate normal
- multivariate gaussian
- estimation error
- particle swarm optimization
- distance measure