R-NL: Covariance Matrix Estimation for Elliptical Distributions Based on Nonlinear Shrinkage.
Simon HedigerJeffrey NäfMichael WolfPublished in: IEEE Trans. Signal Process. (2023)
Keyphrases
- covariance matrix
- covariance matrices
- multivariate gaussian
- normal distribution
- estimation error
- multivariate normal
- class conditional densities
- maximum likelihood estimation
- sample size
- principal component analysis
- natural language
- positive definite
- mahalanobis distance
- eigenvalues and eigenvectors
- pseudo inverse
- gaussian mixture
- maximum likelihood
- correlation matrix
- eigendecomposition
- geometrical interpretation
- image denoising
- parameter estimation
- probability distribution
- denoising
- multi class
- convergence speed
- objective function
- gaussian distribution
- symmetric matrix
- random variables
- similarity measure