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2 votes
1 answer
294 views

Find a way to apply the MLE on Fisher or Covariance matrix to make cross-correlations

I have 2 Fisher matrixes which represent information for the same variables (I mean columns/rows represent the same parameters in the 2 matrixes). Now I would like to make the cross-correlations ...
3 votes
1 answer
561 views

Reducing eigenvalues of symmetric PSD matrix towards 0: effect on ratios of original matrix elements?

Let $\boldsymbol{S}$ be $k \times k$ positive semi-definite real symmetric matrix with eigen decomposition $\boldsymbol{S} = \boldsymbol{X} \boldsymbol{\Lambda} \boldsymbol{X}'$ ($\boldsymbol{\Lambda}$...
3 votes
2 answers
4k views

Singular Value Decomposition of Noisy Matrices

I am an engineer who makes measurements of a variable over a grid of, say, $m\times n$. Since these are actual measurements, the true values are always corrupted by noise, and what I measure is a ...