Random matrix-improved estimation of covariance matrix distances.
Romain CouilletMalik TiomokoSteeve ZozorEric MoisanPublished in: J. Multivar. Anal. (2019)
Keyphrases
- covariance matrix
- covariance matrices
- estimation error
- positive definite
- pseudo inverse
- eigenvalues and eigenvectors
- principal component analysis
- correlation matrix
- mahalanobis distance
- sample size
- distance measure
- eigendecomposition
- geometrical interpretation
- symmetric matrix
- gaussian mixture
- distance function
- transformation matrix
- objective function
- least squares
- density estimation
- euclidean distance
- similarity search