Monitoring the covariance matrix with fewer observations than variables.
Edgard M. Maboudou-TchaoVincent AgbotoPublished in: Comput. Stat. Data Anal. (2013)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- multivariate gaussian
- geometrical interpretation
- mahalanobis distance
- positive definite
- sample size
- gaussian mixture
- correlation matrix
- objective function
- eigendecomposition
- pseudo inverse
- multivariate normal
- eigenvalues and eigenvectors
- face recognition
- random variables
- class conditional densities