Covariance estimation for high dimensional vectors is a classically difficult problem in statistical analysis and machine learning. In this paper, we propose a maximum likelihood ...
—Thus far, sparse representations have been exploited largely in the context of robustly estimating functions in a noisy environment from a few measurements. In this context, the...
We consider the problem of fitting a large-scale covariance matrix to multivariate Gaussian data in such a way that the inverse is sparse, thus providing model selection. Beginnin...
Onureena Banerjee, Laurent El Ghaoui, Alexandre d'...
We present a new Gaussian Process inference algorithm, called Online Sparse Matrix Gaussian Processes (OSMGP), and demonstrate its merits with a few vision applications. The OSMGP ...