A Random Matrix-Theoretic Approach to Handling Singular Covariance Estimates
In many practical situations we would like to estimate the covariance matrix of a set of variables from an insufficient amount of data. More specifically, if we have a set of N independent, identically distributed measurements of an M dimensional random vector the maximum likelihood estimate is the...
| Hlavní autoři: | , , |
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| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
2011
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