Large covariance matrix estimation: Bridging shrinkage and tapering approaches.

Xiaohui Chen Z. Jane Wang Martin J. McKeown

Published in: ICASSP (2012)

Keyphrases

covariance matrix
covariance matrices
estimation error
mahalanobis distance
geometrical interpretation
sample size
positive definite
principal component analysis
gaussian mixture
pseudo inverse
eigenvalues and eigenvectors
symmetric matrix
special case
maximum likelihood