Asymmetric Autoencoders for Factor-Based Covariance Matrix Estimation.
Kevin HuynhGregor LenhardPublished in: ICAIF (2022)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- positive definite
- mahalanobis distance
- geometrical interpretation
- denoising
- multivariate gaussian
- pseudo inverse
- sample size
- eigenvalues and eigenvectors
- maximum likelihood estimation
- gaussian mixture
- independent component analysis
- eigendecomposition
- correlation matrix
- parameter estimation
- objective function
- simulated annealing