Nyström approximation of Wishart matrices

@article{Arcolano2010NystrmAO,
  title={Nystr{\"o}m approximation of Wishart matrices},
  author={Nicholas Arcolano and Patrick J. Wolfe},
  journal={2010 IEEE International Conference on Acoustics, Speech and Signal Processing},
  year={2010},
  pages={3606-3609}
}
Spectral methods requiring the computation of eigenvalues and eigenvectors of a positive definite matrix are an essential part of signal processing. However, for sufficiently high-dimensional data sets, the eigenvalue problem cannot be solved without approximate methods. We examine a technique for approximate spectral analysis and low-rank matrix reconstruction known as the Nyström method, which recasts the eigendecomposition of large matrices as a subset selection problem. In particular, we… CONTINUE READING