Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation
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Cites work
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- Complex-Valued Matrix Differentiation: Techniques and Key Results
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- Estimation of a covariance matrix using the reference prior
- Evolutionary state-space model and its application to time-frequency analysis of local field potentials
- Geodesic Monte Carlo on embedded manifolds
- scientific article; zbMATH DE number 3705455 (Why is no real title available?)
- scientific article; zbMATH DE number 3086018 (Why is no real title available?)
- Lognormal Distributions and Geometric Averages of Symmetric Positive Definite Matrices
- Matrix differential calculus with applications in statistics and econometrics
- MCMC using Hamiltonian dynamics
- On Affine Symmetric Spaces
- On posterior distributions for signals in Gaussian noise with unknown covariance matrix
- Riemann manifold Langevin and Hamiltonian Monte Carlo methods. With discussion and authors' reply
- Sampling constrained probability distributions using spherical augmentation
- Split Hamiltonian Monte Carlo
- The formal definition of reference priors
- The imbedding problem for Riemannian manifolds
- The inverted complex Wishart distribution and its application to spectral estimation
- The Reference Prior for Complex Covariance Matrices With Efficient Implementation Strategies
- The Riemannian geometry of the space of positive-definite matrices and its application to the regularization of positive-definite matrix-valued data
- Time series: theory and methods.
Cited in
(16)- Differentiating the pseudo determinant
- Multivariate isotropic random fields on spheres: nonparametric Bayesian modeling and L^p fast approximations
- Bayesian inference over the Stiefel manifold via the Givens representation
- Flexible Bayesian dynamic modeling of correlation and covariance matrices
- Time-varying spectral matrix estimation via intrinsic wavelet regression for surfaces of Hermitian positive definite matrices
- Spectral analysis of high-dimensional time series
- Nonparametric Bayesian modelling of longitudinally integrated covariance functions on spheres
- A Riemann-Stein kernel method
- Intrinsic Data Depth for Hermitian Positive Definite Matrices
- Some recent developments in Markov chain Monte Carlo for cointegrated time series
- Intrinsic wavelet regression for curves of Hermitian positive definite matrices
- Geometric Integration of Measure-Preserving Flows for Sampling
- Massive Parallelization Boosts Big Bayesian Multidimensional Scaling
- Nonparametric Bayesian modeling and estimation of spatial correlation functions for global data
- Sampling constrained continuous probability distributions: a review
- Riemannian Langevin algorithm for solving semidefinite programs
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