Exact and Stable Covariance Estimation From Quadratic Sampling via Convex Programming
Exact and Stable Covariance Estimation From Quadratic Sampling via Convex Programming
Statistical inference and information processing of high-dimensional data often require an efficient and accurate estimation of their second-order statistics. With rapidly changing data, limited processing power and storage at the acquisition devices, it is desirable to extract the covariance structure from a single pass over the data and a small …