Geodesically Parameterized Covariance Estimation

DOI10.1137/19M1284646zbMath1466.53018arXiv2001.01805MaRDI QIDQ4986827

Antoni Musolas, Steven T. Smith, Youssef M. Marzouk

Publication date: 28 April 2021

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.01805

zbMATH Keywords

geodesic; Fisher information; maximum likelihood; denoising; covariance estimation; natural metric; optimization on manifolds; symmetric positive-definite matrix manifold

Mathematics Subject Classification ID

62J10: Analysis of variance and covariance (ANOVA)

53B20: Local Riemannian geometry

53B12: Differential geometric aspects of statistical manifolds and information geometry

Related Items

Low-rank multi-parametric covariance identification

Uses Software

• glasso

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sparse inverse covariance estimation with the graphical lasso
• A well-conditioned estimator for large-dimensional covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Information geometry and its applications
• Lectures on the theory of estimation of many parameters
• Optimal estimation of a large-dimensional covariance matrix under Stein's loss
• Optimal shrinkage of eigenvalues in the spiked covariance model
• A Riemannian framework for tensor computing
• An Introduction to Computational Stochastic PDEs
• Positive Definite Matrices
• A Constrainedℓ₁Minimization Approach to Sparse Precision Matrix Estimation
• Adaptive Thresholding for Sparse Covariance Matrix Estimation
• An Online Method for Interpolating Linear Parametric Reduced-Order Models
• Differentiable Piecewise-Bézier Surfaces on Riemannian Manifolds
• Matrix Nearness Problems with Bregman Divergences
• Riemannian Metric and Geometric Mean for Positive Semidefinite Matrices of Fixed Rank
• A method for interpolating on manifolds structural dynamics reduced-order models
• The Geometry of Algorithms with Orthogonality Constraints
• Information projections revisited
• Derivatives of Spectral Functions
• A Riemannian geometry with complete geodesics for the set of positive semidefinite matrices of fixed rank
• Statistics for Spatial Data
• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
• Covariance, subspace, and intrinsic Crame/spl acute/r-Rao bounds
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Local polynomial regression for symmetric positive definite matrices