A Riemannian structure for correlation matrices

DOI10.7153/OAM-2019-13-46MaRDI QIDQ5205405zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 11 December 2019

Published in Operators and Matrices (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7153/oam-2019-13-46

zbMATH Keywords

correlationNewton's methodoptimizationquotient manifoldRiemannian geometry

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Statistics on manifolds (62R30) Numerical computation of eigenvalues and eigenvectors of matrices (65F15)

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Cites work

• A Differential Geometric Approach to the Geometric Mean of Symmetric Positive-Definite Matrices
• A new, globally convergent Riemannian conjugate gradient method
• A Riemannian framework for tensor computing
• Canonical correlation analysis on SPD(n) manifolds
• Diagonality measures of Hermitian positive-definite matrices with application to the approximate joint diagonalization problem
• Geometric Means in a Novel Vector Space Structure on Symmetric Positive‐Definite Matrices
• Optimization methods on Riemannian manifolds and their application to shape space
• Riemannian Gaussian Distributions on the Space of Symmetric Positive Definite Matrices
• Statistics on the manifold of multivariate normal distributions: theory and application to diffusion tensor MRI processing
• The Geometry of Algorithms with Orthogonality Constraints
• The Riemannian geometry of the space of positive-definite matrices and its application to the regularization of positive-definite matrix-valued data
• Visualization and processing of tensor fields.

Cited in

(14)

• A spherical representation of a correlation matrix
• Geodesics and curvature of the quotient-affine metrics on full-rank correlation matrices
• A New Parametrization of Correlation Matrices
• The shape of partial correlation matrices
• scientific article; zbMATH DE number 3105785 (Why is no real title available?)
• Theoretically and Computationally Convenient Geometries on Full-Rank Correlation Matrices
• Introduction to Riemannian Geometry and Geometric Statistics: From Basic Theory to Implementation with Geomstats
• Correlation Matrices Driven by Stochastic Isospectral Flows
• Characterization of invariant inner products
• Permutation-invariant log-Euclidean geometries on full-rank correlation matrices
• Anomaly detection of time series correlations via a novel Lie group structure
• Comonotonic-based time series clustering with constraints: a review and a conceptual framework
• A Riemannian tool for clustering of geo-spatial multivariate data
• Quotient geometry of bounded or fixed-rank correlation matrices

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