Shrinkage estimators for large covariance matrices in multivariate real and complex normal distributions under an invariant quadratic loss.
Yoshihiko KonnoPublished in: J. Multivar. Anal. (2009)
Keyphrases
- covariance matrices
- covariance matrix
- normal distribution
- multivariate normal
- estimation problems
- sample size
- principal component analysis
- maximum likelihood
- random variables
- objective function
- gaussian distribution
- distance measure
- gaussian mixture model
- gaussian mixture
- computational complexity
- vector space
- statistical analysis
- learning algorithm