Estimations for some functions of covariance matrix in high dimension under non-normality and its applications.
Tetsuto HimenoTakayuki YamadaPublished in: J. Multivar. Anal. (2014)
Keyphrases
- covariance matrix
- high dimension
- normal distribution
- covariance matrices
- sample size
- small sample
- real valued
- principal component analysis
- input space
- high dimensional
- feature selection
- feature space
- geometrical interpretation
- high dimensional data
- objective function
- multivariate gaussian
- dimensionality reduction
- least squares
- correlation matrix
- eigenvalues and eigenvectors
- simulated annealing
- genetic algorithm