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...
| Principais autores: | , , |
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| Formato: | Journal article |
| Idioma: | English |
| Publicado em: |
2011
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