Theoretically and Computationally Convenient Geometries on Full-Rank Correlation Matrices

DOI10.1137/22M1471729MaRDI QIDQ5885798

Xavier Pennec, Yann Thanwerdas

Publication date: 30 March 2023

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

Full work available at URL: https://arxiv.org/abs/2201.06282

zbMATH Keywords

Lie groupcorrelation matricesLie group actionsSPD matricesquotient-affine metricEuclidean-Cholesky metricsLie-Cholesky metricslog-Euclidean-Cholesky metricspoly-hyperbolic-Cholesky metrics

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Geodesics in global differential geometry (53C22) Quadratic and bilinear forms, inner products (15A63) Methods of local Riemannian geometry (53B21) Manifolds of metrics (especially Riemannian) (58D17) Computational methods for problems pertaining to differential geometry (53-08)

Related Items

Bures–Wasserstein Minimizing Geodesics between Covariance Matrices of Different Ranks ⋮ K-splines on SPD manifolds

Uses Software

• geomstats
• cCorrGAN

Cites Work

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