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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