Regularized block Toeplitz covariance matrix estimation via Kronecker product expansions.
Kristjan H. GreenewaldAlfred O. Hero IIIPublished in: SSP (2014)
Keyphrases
- covariance matrix
- kronecker product
- pseudo inverse
- estimation error
- least squares
- covariance matrices
- correlation matrix
- principal component analysis
- objective function
- sample size
- eigendecomposition
- gaussian mixture
- multivariate gaussian
- mahalanobis distance
- geometrical interpretation
- positive definite
- eigenvalues and eigenvectors
- maximum likelihood estimation
- parameter estimation
- np hard
- symmetric matrix
- feature extraction