Robust estimation of mean and covariance matrix for incomplete data in financial applications.
Junyan LiuDaniel P. PalomarPublished in: GlobalSIP (2017)
Keyphrases
- robust estimation
- incomplete data
- covariance matrix
- covariance matrices
- least squares
- missing data
- missing values
- bayesian networks
- em algorithm
- sample size
- incomplete data sets
- principal component analysis
- mahalanobis distance
- hyperparameters
- motion field
- geometrical interpretation
- positive definite
- data sets
- input data
- image sequences