Covariance Matrix Estimation From Linearly-Correlated Gaussian Samples.
Wei CuiXu ZhangYulong LiuPublished in: IEEE Trans. Signal Process. (2019)
Keyphrases
- covariance matrix
- covariance matrices
- gaussian mixture
- multivariate gaussian
- normal distribution
- estimation error
- maximum likelihood estimation
- principal component analysis
- statistically independent
- mahalanobis distance
- sample size
- eigendecomposition
- positive definite
- maximum likelihood
- eigenvalues and eigenvectors
- distance measure
- correlation matrix
- em algorithm
- transformation matrix
- geometrical interpretation
- objective function
- vector space
- parameter estimation
- density function
- gaussian distribution
- principal components
- pseudo inverse
- expectation maximization
- upper bound
- computer vision
- cma es