Random matrix-improved estimation of covariance matrix distances.
Romain CouilletMalik TiomokoSteeve ZozorEric MoisanPublished in: CoRR (2018)
Keyphrases
- covariance matrix
- eigenvalues and eigenvectors
- covariance matrices
- estimation error
- positive definite
- pseudo inverse
- principal component analysis
- sample size
- symmetric matrix
- correlation matrix
- multivariate gaussian
- gaussian mixture
- eigendecomposition
- distance function
- mahalanobis distance
- geometrical interpretation
- cma es
- random matrix theory
- transformation matrix
- euclidean distance
- parameter estimation
- distance measure
- feature space
- objective function
- feature extraction