Minimax estimation of a normal covariance matrix with the partial Iwasawa decomposition.
Hisayuki TsukumaPublished in: J. Multivar. Anal. (2016)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- sample size
- positive definite
- mahalanobis distance
- eigenvalues and eigenvectors
- multivariate gaussian
- parameter estimation
- objective function
- pseudo inverse
- geometrical interpretation
- cma es
- class conditional densities
- eigendecomposition
- correlation matrix
- semi parametric
- symmetric matrix
- model selection
- search space
- search algorithm