Regularized Covariance Matrix Estimation via Empirical Bayes.
Angelo ColucciaPublished in: IEEE Signal Process. Lett. (2015)
Keyphrases
- covariance matrix
- empirical bayes
- estimation error
- pseudo inverse
- covariance matrices
- principal component analysis
- sample size
- objective function
- multivariate gaussian
- geometrical interpretation
- least squares
- mahalanobis distance
- eigenvalues and eigenvectors
- correlation matrix
- positive definite
- face recognition
- gaussian mixture
- parameter estimation
- cma es
- eigendecomposition
- transformation matrix
- maximum likelihood estimation
- symmetric matrix
- search space
- class conditional densities