Structured covariance estimation. The routine takes a covariance matrix as input...我要分享

matlab

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中文说明: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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