Multivariate Gaussians, semidefinite matrix completion, and convex algebraic geometry

DOI10.1007/S10463-010-0295-4MaRDI QIDQ2634801zbMATH OpenOpenAlexFDO

Authors Bernd Sturmfels, Caroline Uhler

Publication date 19 February 2016

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0906.3529

zbMATH Keywords

convex algebraic geometrydual convex conedual projective varietymaximum likelihood estimationmultivariate normal distributionsemidefinite matrix completion

Mathematics Subject Classification ID

Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Gröbner bases; other bases for ideals and modules (e.g., Janet and border bases) (13P10) Positive matrices and their generalizations; cones of matrices (15B48) Estimation in multivariate analysis (62H12) Multivariate analysis (62H99) Algebraic statistics (62R01)

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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Cited in

(60)

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Uses Software

• surfex
• SINGULAR
• Macaulay2
• gRc
• CVX

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