Theoretically and Computationally Convenient Geometries on Full-Rank Correlation Matrices

DOI10.1137/22M1471729MaRDI QIDQ5885798zbMATH OpenFDO

Authors Yann Thanwerdas, Xavier Pennec

Publication date 30 March 2023

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

Full work available at URL https://arxiv.org/abs/2201.06282

zbMATH Keywords

correlation matricesEuclidean-Cholesky metricsLie groupLie group actionsLie-Cholesky metricslog-Euclidean-Cholesky metricspoly-hyperbolic-Cholesky metricsquotient-affine metricSPD matrices

Mathematics Subject Classification ID

Quadratic and bilinear forms, inner products (15A63) Computational methods for problems pertaining to differential geometry (53-08) Methods of local Riemannian geometry (53B21) Geodesics in global differential geometry (53C22) Manifolds of metrics (especially Riemannian) (58D17) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

• A New Parametrization of Correlation Matrices
• A reduced parallel transport equation on Lie groups with a left-invariant metric
• A Riemannian structure for correlation matrices
• cCorrGAN: conditional correlation GAN for learning empirical conditional distributions in the elliptope
• Clustering in Hilbert's projective geometry: the case studies of the probability simplex and the elliptope of correlation matrices
• Fisher-Rao geometry of Dirichlet distributions
• Geodesics and curvature of the quotient-affine metrics on full-rank correlation matrices
• scientific article; zbMATH DE number 3928102 (Why is no real title available?)
• scientific article; zbMATH DE number 3719944 (Why is no real title available?)
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• Information geometry for phylogenetic trees
• On Rebonato and Jäckel's parametrization method for finding nearest correlation matrices
• Riemannian geometry for the statistical analysis of diffusion tensor data
• Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition
• The fundamental equations of a submersion

Cited in

(10)

• A Riemannian structure for correlation matrices
• Bures–Wasserstein Minimizing Geodesics between Covariance Matrices of Different Ranks
• K-splines on SPD manifolds
• Theoretically and computationally convenient geometries on full-rank correlation matrices
• Permutation-invariant log-Euclidean geometries on full-rank correlation matrices
• Information measures and geometry of the hyperbolic exponential families of Poincaré and hyperboloid distributions
• 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
• Nonlinear wavelet threshold estimation of time-varying covariance matrices in a log-Euclidean manifold

Describes a project that uses

Uses Software

• cCorrGAN
• geomstats

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