Covariance Estimation for High Dimensional Data Vectors Using the Sparse Matrix
Covarianceestimationforhighdimensionalvectorsisaclassicallydifcultprobleminstatisticalanalysisandmachinelearning.Inthispaper,weproposeamaximumlikelihood(ML)approachtocovarianceestimation,whichemploysanovelsparsityconstraint.Morespecically,thecovarianceisconstrainedtohaveaneigendecompos
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