Eigen structure of a new class of covariance and inverse covariance matrices

DOI10.3150/16-BEJ840zbMath1388.62149OpenAlexW2620312635MaRDI QIDQ2405151

Heather Battey

Publication date: 21 September 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1495505088

zbMATH Keywords

covariance matrixspectral theoryprecision matrixmatrix logarithm

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (algebraic aspects) (15B52)

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