Estimation and optimal structure selection of high-dimensional Toeplitz covariance matrix.
Yihe YangJie ZhouJianxin PanPublished in: J. Multivar. Anal. (2021)
Keyphrases
- covariance matrix
- estimation error
- high dimensional
- covariance matrices
- sample size
- correlation matrix
- principal component analysis
- geometrical interpretation
- objective function
- positive definite
- mahalanobis distance
- similarity search
- feature space
- multivariate gaussian
- machine learning
- parameter space
- density estimation
- parameter estimation
- gaussian mixture
- low dimensional
- lower bound
- eigendecomposition
- eigenvalues and eigenvectors
- symmetric matrix