Testing the rank of the Hankel covariance matrix: a statistical approach.
Gonzalo Camba-MendezGeorge KapetaniosPublished in: IEEE Trans. Autom. Control. (2001)
Keyphrases
- covariance matrix
- covariance matrices
- sample size
- principal component analysis
- cma es
- mahalanobis distance
- evolution strategy
- geometrical interpretation
- gaussian mixture
- positive definite
- correlation matrix
- eigendecomposition
- pseudo inverse
- eigenvalues and eigenvectors
- multivariate gaussian
- estimation error
- multivariate normal
- symmetric matrix
- machine learning
- mahalanobis metric
- principal components
- parameter estimation
- objective function