Distances on spaces of high-dimensional linear stochastic processes: a survey

DOI10.1007/978-3-319-05317-2_8zbMATH Open1334.60002OpenAlexW174584617MaRDI QIDQ5263609FDOQ5263609

Authors: Bijan Afsari, René Vidal 

Publication date: 17 July 2015

Published in: Geometric Theory of Information (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-05317-2_8

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zbMATH Keywords

time seriesstochastic processespattern recognitionHellinger distancespectral factorizationlinear dynamical systemsgeneralized dynamic factor modelprincipal fiber bundleItakura-Saito divergenceall-pass filterFréchet meanintrinsic geometriesextrinsic geometries

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Pattern recognition, speech recognition (68T10) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) General theory of stochastic processes (60G07)

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• Group Action Induced Distances on Spaces of High-Dimensional Linear Stochastic Processes
• The alignment space generated by general metric spaces

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