Asymptotic expansion for distribution of the trace of a covariance matrix under a two-step monotone incomplete sample.
Shin-ichi TsukadaPublished in: J. Multivar. Anal. (2014)
Keyphrases
- covariance matrix
- sample size
- normal distribution
- covariance matrices
- principal component analysis
- upper bound
- positive definite
- worst case
- probability distribution
- multivariate gaussian
- data distribution
- correlation matrix
- mahalanobis distance
- random variables
- gaussian mixture
- eigenvalues and eigenvectors
- density function
- generalization error
- estimation error
- transformation matrix
- pseudo inverse
- dimensionality reduction
- special case