On the Expected Likelihood Approach for Assessment of Regularization Covariance Matrix.
Yuri I. AbramovichOlivier BessonPublished in: IEEE Signal Process. Lett. (2015)
Keyphrases
- covariance matrix
- covariance matrices
- principal component analysis
- geometrical interpretation
- sample size
- positive definite
- eigendecomposition
- pseudo inverse
- maximum likelihood
- gaussian mixture
- multivariate gaussian
- estimation error
- objective function
- eigenvalues and eigenvectors
- correlation matrix
- mahalanobis distance
- global optimization
- model selection
- least squares
- high dimensional
- symmetric matrix
- feature selection
- class conditional densities