Maximum likelihood covariance matrix estimation from two possibly mismatched data sets.
Olivier BessonPublished in: Signal Process. (2020)
Keyphrases
- covariance matrix
- maximum likelihood
- covariance matrices
- data sets
- maximum likelihood estimation
- estimation error
- parameter estimation
- multivariate gaussian
- em algorithm
- principal component analysis
- sample size
- positive definite
- expectation maximization
- maximum likelihood estimator
- gaussian mixture
- mahalanobis distance
- maximum a posteriori
- eigendecomposition
- gaussian distribution
- correlation matrix
- class conditional densities
- gaussian mixture model
- mixture model
- training set
- machine learning
- transformation matrix
- model selection
- pseudo inverse
- geometrical interpretation
- density estimation
- high dimensional data
- eigenvalues and eigenvectors
- symmetric matrix