Stable estimation of a covariance matrix guided by nuclear norm penalties.

Eric C. Chi Kenneth Lange

Published in: Comput. Stat. Data Anal. (2014)

Keyphrases

covariance matrix
covariance matrices
sample size
principal component analysis
low rank
matrix completion
principal components
eigendecomposition
low rank matrix
clustering algorithm
image segmentation
objective function
vector space
maximum likelihood estimation
correlation matrix