Large Covariance Matrix Estimation With Oracle Statistical Rate via Majorization-Minimization.
Quan WeiZiping ZhaoPublished in: IEEE Trans. Signal Process. (2023)
Keyphrases
- covariance matrix
- estimation error
- objective function
- covariance matrices
- principal component analysis
- positive definite
- gaussian mixture
- mahalanobis distance
- sample size
- geometrical interpretation
- multivariate gaussian
- eigendecomposition
- density estimation
- pseudo inverse
- transformation matrix
- eigenvalues and eigenvectors
- symmetric matrix
- information theoretic