Law of log determinant of sample covariance matrix and optimal estimation of differential entropy for high-dimensional Gaussian distributions.
T. Tony CaiTengyuan LiangHarrison H. ZhouPublished in: J. Multivar. Anal. (2015)
Keyphrases
- gaussian distribution
- high dimensional
- multi variate
- dynamic programming
- estimation error
- maximum likelihood
- optimal solution
- minimum error
- noise model
- prior knowledge
- dimensionality reduction
- multivariate gaussian
- image processing
- closed form
- information theoretic
- similarity search
- low dimensional
- object recognition