Large Covariance Matrix Estimation Based on Factor Models via Nonconvex Optimization.

Shanshan Zou Ziping Zhao

Published in: ICASSP (2024)

Keyphrases

covariance matrix
estimation error
covariance matrices
global optimization
optimization problems
objective function
principal component analysis
parameter estimation
feature extraction
parametric models
mahalanobis distance
feature selection
model selection
optimization method
cma es