Shrinking the Covariance Matrix Using Convex Penalties on the Matrix-Log Transformation.
Mengxi YiDavid E. TylerPublished in: J. Comput. Graph. Stat. (2021)
Keyphrases
- covariance matrix
- transformation matrix
- positive definite
- covariance matrices
- eigenvalues and eigenvectors
- pseudo inverse
- principal component analysis
- sample size
- correlation matrix
- symmetric matrix
- eigendecomposition
- gaussian mixture
- geometrical interpretation
- convex optimization
- objective function
- multivariate gaussian
- mahalanobis distance
- convex hull
- class conditional densities
- projection matrix
- machine learning
- cma es