Low-Rank Covariance Matrix Estimation for Factor Analysis in Anisotropic Noise: Application to Array Processing and Portfolio Selection.
Petre StoicaPrabhu BabuPublished in: IEEE Trans. Signal Process. (2023)
Keyphrases
- covariance matrix
- factor analysis
- low rank
- matrix factorization
- missing data
- portfolio selection
- independent component analysis
- cluster analysis
- kernel matrix
- high dimensional data
- singular value decomposition
- convex optimization
- principal component analysis
- spectral clustering
- neural network
- generative model
- collaborative filtering
- pairwise
- lower bound