Large Covariance Matrix Estimation with Oracle Statistical Rate.
Quan WeiZiping ZhaoPublished in: ICASSP (2023)
Keyphrases
- covariance matrix
- estimation error
- covariance matrices
- principal component analysis
- sample size
- positive definite
- geometrical interpretation
- multivariate gaussian
- eigenvalues and eigenvectors
- pseudo inverse
- multivariate normal
- correlation matrix
- mahalanobis distance
- gaussian mixture
- objective function
- machine learning
- principal components
- evolutionary algorithm
- class conditional densities