Regularized Covariance Matrix Estimation in Complex Elliptically Symmetric Distributions Using the Expected Likelihood Approach - Part 2: The Under-Sampled Case.
Olivier BessonYuri I. AbramovichPublished in: IEEE Trans. Signal Process. (2013)
Keyphrases
- covariance matrix
- covariance matrices
- positive definite
- multivariate gaussian
- estimation error
- normal distribution
- maximum likelihood
- multivariate normal
- principal component analysis
- class conditional densities
- symmetric matrix
- pseudo inverse
- sample size
- maximum likelihood estimation
- gaussian mixture
- objective function
- gaussian distribution
- random variables
- geometrical interpretation
- mahalanobis distance
- correlation matrix
- parameter estimation
- eigenvalues and eigenvectors
- probability distribution
- image processing
- differential evolution
- distance measure
- cma es