CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions.
Yangchun ZhangJiang HuWeiming LiPublished in: J. Multivar. Anal. (2022)
Keyphrases
- covariance matrices
- high dimensional
- covariance matrix
- gaussian distribution
- maximum likelihood
- vector space
- gaussian mixture model
- multivariate normal
- distance measure
- low dimensional
- sample size
- feature vectors
- gaussian mixture
- high dimensional data
- linear classifiers
- metric space
- data sets
- log euclidean
- lie group
- machine learning
- feature space
- data points
- input space
- euclidean space
- manifold learning
- parameter space
- probability distribution
- riemannian manifolds
- square root
- training samples
- em algorithm
- dimensionality reduction