### Abstract

Original language | Undefined |
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Title of host publication | Proceedings of the 30th Symposium on Information Theory in the Benelux |

Place of Publication | Eindhoven |

Publisher | Werkgemeenschap voor Informatie- en Communicatietheorie (WIC) |

Pages | 25-32 |

Number of pages | 8 |

ISBN (Print) | 978-90-386-1852-4 |

Publication status | Published - May 2009 |

Event | 30th WIC Symposium on Information Theory in the Benelux 2009 - Eindhoven, Netherlands Duration: 28 May 2009 → 29 May 2009 Conference number: 30 |

### Publication series

Name | |
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Publisher | Werkgemeenschap voor Informatie- en Communicatietheorie |

### Conference

Conference | 30th WIC Symposium on Information Theory in the Benelux 2009 |
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Country | Netherlands |

City | Eindhoven |

Period | 28/05/09 → 29/05/09 |

### Keywords

- IR-70158
- METIS-265748
- Density estimation
- EWI-15685
- eigenvalue estimation
- SCS-Safety
- variance correction

### Cite this

*Proceedings of the 30th Symposium on Information Theory in the Benelux*(pp. 25-32). Eindhoven: Werkgemeenschap voor Informatie- en Communicatietheorie (WIC).

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*Proceedings of the 30th Symposium on Information Theory in the Benelux.*Werkgemeenschap voor Informatie- en Communicatietheorie (WIC), Eindhoven, pp. 25-32, 30th WIC Symposium on Information Theory in the Benelux 2009, Eindhoven, Netherlands, 28/05/09.

**Improved variance estimation along sample eigenvectors.** / Hendrikse, A.J.; Veldhuis, Raymond N.J.; Spreeuwers, Lieuwe Jan.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic

TY - GEN

T1 - Improved variance estimation along sample eigenvectors

AU - Hendrikse, A.J.

AU - Veldhuis, Raymond N.J.

AU - Spreeuwers, Lieuwe Jan

PY - 2009/5

Y1 - 2009/5

N2 - Second order statistics estimates in the form of sample eigenvalues and sample eigenvectors give a sub optimal description of the population density. So far only attempts have been made to reduce the bias in the sample eigenvalues. However, because the sample eigenvectors differ from the population eigenvectors as well, the population eigenvalues are biased estimates of the variances along the sample eigenvectors. Therefore correction of the sample eigenvalues towards the population eigenvalues is not sufficient. The experiments in this paper show that replacing the sample eigenvalues with the variances along the sample eigenvectors often results in better estimates of the population density than replacing the sample eigenvalues with the population eigenvalues.

AB - Second order statistics estimates in the form of sample eigenvalues and sample eigenvectors give a sub optimal description of the population density. So far only attempts have been made to reduce the bias in the sample eigenvalues. However, because the sample eigenvectors differ from the population eigenvectors as well, the population eigenvalues are biased estimates of the variances along the sample eigenvectors. Therefore correction of the sample eigenvalues towards the population eigenvalues is not sufficient. The experiments in this paper show that replacing the sample eigenvalues with the variances along the sample eigenvectors often results in better estimates of the population density than replacing the sample eigenvalues with the population eigenvalues.

KW - IR-70158

KW - METIS-265748

KW - Density estimation

KW - EWI-15685

KW - eigenvalue estimation

KW - SCS-Safety

KW - variance correction

M3 - Conference contribution

SN - 978-90-386-1852-4

SP - 25

EP - 32

BT - Proceedings of the 30th Symposium on Information Theory in the Benelux

PB - Werkgemeenschap voor Informatie- en Communicatietheorie (WIC)

CY - Eindhoven

ER -