Multivariate Gaussians, semidefinite matrix completion, and convex algebraic geometry
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Publication:2634801
multivariate normal distributionmaximum likelihood estimationconvex algebraic geometrysemidefinite matrix completiondual convex conedual projective variety
Multivariate analysis (62H99) Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Estimation in multivariate analysis (62H12) Algebraic statistics (62R01) Positive matrices and their generalizations; cones of matrices (15B48) Gröbner bases; other bases for ideals and modules (e.g., Janet and border bases) (13P10)
Abstract: We study multivariate normal models that are described by linear constraints on the inverse of the covariance matrix. Maximum likelihood estimation for such models leads to the problem of maximizing the determinant function over a spectrahedron, and to the problem of characterizing the image of the positive definite cone under an arbitrary linear projection. These problems at the interface of statistics and optimization are here examined from the perspective of convex algebraic geometry.
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- SINGULAR
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Cited in
(45)- Real algebraic geometry with a view toward Koopman operator methods. Abstracts from the workshop held March 12--17, 2023
- The maximum likelihood degree of linear spaces of symmetric matrices
- Geometry of maximum likelihood estimation in Gaussian graphical models
- Coloured graphical models and their symmetries
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- Nonlinear algebra and applications
- Discriminant analysis with Gaussian graphical tree models
- Exponential varieties
- Symmetries in directed Gaussian graphical models
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- Discriminants and nonnegative polynomials
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- Likelihood geometry of correlation models
- ORBITOPES
- Multidegrees, prime ideals, and non-standard gradings
- Gaussian Likelihood Geometry of Projective Varieties
- Gibbs manifolds
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