On the Stein phenomenon under divergence loss and an unknown variance-covariance matrix.
Malay GhoshVictor MergelPublished in: J. Multivar. Anal. (2009)
Keyphrases
- covariance matrix
- relative entropy
- covariance matrices
- principal component analysis
- mahalanobis distance
- sample size
- gaussian mixture
- normal distribution
- kl divergence
- positive definite
- pseudo inverse
- eigenvalues and eigenvectors
- objective function
- cma es
- eigendecomposition
- geometrical interpretation
- low dimensional