Covariance matrix estimation for left-censored data.
Maiju PesonenHenri PesonenJaakko NevalainenPublished in: Comput. Stat. Data Anal. (2015)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- positive definite
- gaussian mixture
- geometrical interpretation
- sample size
- eigenvalues and eigenvectors
- pseudo inverse
- mahalanobis distance
- objective function
- cma es
- transformation matrix
- class conditional densities
- correlation matrix
- multivariate gaussian
- principal components
- dimensionality reduction
- multivariate normal