Improved Covariance Matrix Estimator using Shrinkage Transformation and Random Matrix Theory.
Samruddhi DeshmukhAmartansh DubeyPublished in: CoRR (2019)
Keyphrases
- covariance matrix
- random matrix theory
- correlation matrix
- covariance matrices
- estimation error
- principal component analysis
- transformation matrix
- sample size
- gaussian mixture
- mahalanobis distance
- positive definite
- image denoising
- geometrical interpretation
- maximum likelihood
- denoising
- multivariate gaussian
- eigenvalues and eigenvectors
- feature extraction
- gaussian mixture model
- eigendecomposition
- objective function