Robust Covariance Matrix Estimation in Heterogeneous Low Rank Context.
Arnaud BreloyGuillaume GinolhacFrédéric PascalPhilippe ForsterPublished in: IEEE Trans. Signal Process. (2016)
Keyphrases
- covariance matrix
- low rank
- estimation error
- rank minimization
- eigendecomposition
- low rank matrix
- covariance matrices
- missing data
- convex optimization
- robust principal component analysis
- matrix factorization
- principal component analysis
- singular value decomposition
- matrix completion
- linear combination
- kernel matrix
- sample size
- semi supervised
- high dimensional data
- probabilistic model
- high order
- objective function
- regularized regression
- singular values
- dimensionality reduction
- evolutionary algorithm