Minimum Eigenvalue Based Covariance Matrix Estimation with Limited Samples.
Jing QianJuening JinHao WangPublished in: CoRR (2023)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- sample size
- positive definite
- mahalanobis distance
- correlation matrix
- pseudo inverse
- gaussian mixture
- eigenvalues and eigenvectors
- multivariate gaussian
- geometrical interpretation
- training set
- class conditional densities
- eigendecomposition
- objective function
- symmetric matrix
- parameter estimation
- mahalanobis metric