Cramér-Rao Lower Bounds on Covariance Matrix Estimation for Complex Elliptically Symmetric Distributions.
Maria GrecoFulvio GiniPublished in: IEEE Trans. Signal Process. (2013)
Keyphrases
- covariance matrix
- covariance matrices
- lower bound
- multivariate gaussian
- positive definite
- estimation error
- normal distribution
- multivariate normal
- sample size
- objective function
- class conditional densities
- symmetric matrix
- upper bound
- gaussian mixture
- maximum likelihood estimation
- principal component analysis
- rao bound
- mahalanobis distance
- eigenvalues and eigenvectors
- eigendecomposition
- parameter estimation
- kullback leibler divergence
- pseudo inverse
- special case
- correlation matrix
- geometrical interpretation
- em algorithm
- gaussian mixture model
- maximum likelihood