Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- sample size
- normal distribution
- relative entropy
- gaussian mixture
- mahalanobis distance
- correlation matrix
- positive definite
- pseudo inverse
- objective function
- multivariate gaussian
- eigenvalues and eigenvectors
- geometrical interpretation
- estimation error
- symmetric matrix
- eigendecomposition
- principal components
- linear programming