Estimation of the multivariate distributions precision matrix learning
Yukui Zhu, Ping Liu, Hongwei Sun · 2010 3rd International Congress on Image and Signal Processing · 2010
In this paper, we give a estimation of the precision matrix learning of multivariate Gaussian distributions. The conclusion is that we can turn the approximation of the precision matrix to the approximation of the covariance matrix, and prove the asymptotic converges of the algorithm using σk=0n(I-Az)kto approximate the precision matrix A-1.