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...
| Главные авторы: | , , |
|---|---|
| Формат: | Journal article |
| Язык: | English |
| Опубликовано: |
2011
|