Covariance Matrix Estimation from Correlated Sub-Gaussian Samples.
Xu ZhangWei CuiYulong LiuPublished in: CoRR (2019)
Keyphrases
- covariance matrix
- covariance matrices
- gaussian mixture
- multivariate gaussian
- estimation error
- normal distribution
- sample size
- maximum likelihood estimation
- principal component analysis
- mahalanobis distance
- statistically independent
- objective function
- positive definite
- eigenvalues and eigenvectors
- transformation matrix
- maximum likelihood
- gaussian distribution
- geometrical interpretation
- parameter estimation
- training set
- pseudo inverse
- class conditional densities
- eigendecomposition
- riemannian manifolds
- linear classifiers
- density estimation
- gaussian mixture model
- training samples