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Optimality Claims for the FML Covariance Estimator with respect to Two Matrix Norms.
Augusto Aubry
Antonio De Maio
Vincenzo Carotenuto
Published in:
IEEE Trans. Aerosp. Electron. Syst. (2013)
Keyphrases
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covariance matrix
least squares
optimal solution
maximum likelihood
pairwise
confidence intervals
data sets
maximum a posteriori
density estimation
singular values
optimality criterion
correlation matrix
multivariate gaussian distribution