Robust Covariance Matrix Estimation using Random Matrix Theory.
Samruddhi DeshmukhAmartansh DubeyRoss D. MurchPublished in: COMAD/CODS (2023)
Keyphrases
- covariance matrix
- random matrix theory
- estimation error
- correlation matrix
- covariance matrices
- sample size
- objective function
- principal component analysis
- gaussian mixture
- mahalanobis distance
- positive definite
- pseudo inverse
- symmetric matrix
- geometrical interpretation
- eigenvalues and eigenvectors
- feature extraction
- probabilistic model
- eigendecomposition
- transformation matrix
- high dimensional
- multivariate gaussian
- class conditional densities