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Linear shrinkage estimation of large covariance matrices using factor models.

Yuki IkedaTatsuya Kubokawa
Published in: J. Multivar. Anal. (2016)
Keyphrases
  • covariance matrices
  • covariance matrix
  • estimation problems
  • maximum likelihood
  • probabilistic model
  • machine learning
  • prior knowledge
  • closed form
  • parametric models
  • parameter estimation
  • gaussian mixture model