Estimation of a high-dimensional covariance matrix with the Stein loss.
Hisayuki TsukumaPublished in: J. Multivar. Anal. (2016)
Keyphrases
- covariance matrix
- high dimensional
- estimation error
- covariance matrices
- principal component analysis
- geometrical interpretation
- dimensionality reduction
- sample size
- low dimensional
- mahalanobis distance
- positive definite
- similarity search
- eigendecomposition
- parameter estimation
- feature space
- gaussian mixture
- cma es
- probabilistic model
- mahalanobis metric
- pseudo inverse
- input space