Riemannian Gaussian Distributions on the Space of Symmetric Positive Definite Matrices

DOI10.1109/TIT.2017.2653803zbMath1366.15029arXiv1507.01760OpenAlexW2963167705WikidataQ115263248 ScholiaQ115263248MaRDI QIDQ5280889

Salem Said, Jonathan H. Manton, Yannick Berthoumieu, Lionel Bombrun

Publication date: 27 July 2017

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.01760

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Random matrices (probabilistic aspects) (60B20) Matrices over special rings (quaternions, finite fields, etc.) (15B33) Positive matrices and their generalizations; cones of matrices (15B48) Measures of information, entropy (94A17) Methods of local Riemannian geometry (53B21)

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