Riemannian Gaussian distributions on the space of positive-definite quaternion matrices

DOI10.1007/978-3-319-68445-1_82MaRDI QIDQ1689217zbMATH OpenOpenAlexFDO

Authors Salem Said, Nicolas Le Bihan, Jonathan H. Manton

Publication date 12 January 2018

Full work available at URL https://arxiv.org/abs/1703.09940

zbMATH Keywords

positive-definite matrixquaternionRiemannian barycentreRiemannian Gaussian distributionsymplectic group

Mathematics Subject Classification ID

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

Abstract: Recently, Riemannian Gaussian distributions were defined on spaces of positive-definite real and complex matrices. The present paper extends this definition to the space of positive-definite quaternion matrices. In order to do so, it develops the Riemannian geometry of the space of positive-definite quaternion matrices, which is shown to be a Riemannian symmetric space of non-positive curvature. The paper gives original formulae for the Riemannian metric of this space, its geodesics, and distance function. Then, it develops the theory of Riemannian Gaussian distributions, including the exact expression of their probability density, their sampling algorithm and statistical inference.

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Cited in

(4)

• Riemannian Gaussian distributions, random matrix ensembles and diffusion kernels
• Gaussian distributions on the space of symmetric positive definite matrices from Souriau's Gibbs state for Siegel domains by coadjoint orbit and moment map
• The Density Functions of the Singular Quaternion Normal Matrix and the Singular Quaternion Wishart Matrix
• Gaussian distributions on Riemannian symmetric spaces of nonpositive curvature

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