Surveillance of the covariance matrix based on the properties of the singular Wishart distribution.
Olha BodnarTaras BodnarYarema OkhrinPublished in: Comput. Stat. Data Anal. (2009)
Keyphrases
- covariance matrix
- positive definite
- normal distribution
- covariance matrices
- principal component analysis
- sample size
- mahalanobis distance
- gaussian mixture
- objective function
- pseudo inverse
- eigendecomposition
- eigenvalues and eigenvectors
- probability density function
- probability distribution
- transformation matrix
- genetic algorithm
- maximum likelihood
- computational complexity
- support vector
- geometrical interpretation