The Reference Prior for Complex Covariance Matrices With Efficient Implementation Strategies

DOI10.1109/TSP.2009.2027768MaRDI QIDQ4570045zbMATH OpenFDO

Authors Lennart Svensson, Magnus Lundberg Nordenvaad

Publication date 9 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(1)

• Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

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