Weighted covariance matrix estimation.
Guangren YangYiming LiuGuangming PanPublished in: Comput. Stat. Data Anal. (2019)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- sample size
- geometrical interpretation
- multivariate gaussian
- mahalanobis distance
- gaussian mixture
- eigendecomposition
- correlation matrix
- pseudo inverse
- eigenvalues and eigenvectors
- positive definite
- maximum likelihood estimation
- density estimation
- principal components
- optimization algorithm
- multi objective