Low-rank multi-parametric covariance identification
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DOI: 10.1007/s10543-021-00867-y
Abstract: We propose a differential geometric approach for building families of low-rank covariance matrices, via interpolation on low-rank matrix manifolds. In contrast with standard parametric covariance classes, these families offer significant flexibility for problem-specific tailoring via… read more here.
Keywords: parametric covariance; covariance identification; low rank; rank ... See more keywords