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strcov

于 2009-12-16 发布文件大小:1KB

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Structured covariance estimation. The routine takes a covariance matrix as input and returns the Toeplitz matrix that lies closest to it, in the sense that it minimizes the Kullback-Leibler divergence between the two. Input must be a real, square, symmetric and positive semi-definite matrix.

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strcov

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