Geodesically Parameterized Covariance Estimation

DOI10.1137/19M1284646zbMath1466.53018arXiv2001.01805OpenAlexW3156902937MaRDI QIDQ4986827

Antoni Musolas, Steven T. Smith, Youssef M. Marzouk

Publication date: 28 April 2021

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.01805

zbMATH Keywords

geodesicFisher informationmaximum likelihooddenoisingcovariance estimationnatural metricoptimization on manifoldssymmetric positive-definite matrix manifold

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Local Riemannian geometry (53B20) Differential geometric aspects of statistical manifolds and information geometry (53B12)

Related Items (1)

Low-rank multi-parametric covariance identification

Uses Software

• glasso

Cites Work

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