Permutation-invariant log-Euclidean geometries on full-rank correlation matrices

DOI10.1137/22M1538144MaRDI QIDQ6540317zbMATH OpenFDO

Authors Yann Thanwerdas

Publication date 15 May 2024

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

zbMATH Keywords

elliptopecorrelation matricesSPD matriceslog-Euclidean metricquotient-affine metricpermutation-invariantcor-inversionlog-scaled metricoff-log metric

Mathematics Subject Classification ID

Special matrices (15B99) Differential geometric aspects of statistical manifolds and information geometry (53B12) Information geometry (statistical aspects) (62B11)

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Cites work

• scientific article; zbMATH DE number 5668397 (Why is no real title available?)
• scientific article; zbMATH DE number 3928102 (Why is no real title available?)
• scientific article; zbMATH DE number 1134987 (Why is no real title available?)
• A New Parametrization of Correlation Matrices
• A Riemannian framework for tensor computing
• A Riemannian structure for correlation matrices
• Clustering in Hilbert's projective geometry: the case studies of the probability simplex and the elliptope of correlation matrices
• Efficient rank reduction of correlation matrices
• Geodesics and curvature of the quotient-affine metrics on full-rank correlation matrices
• Information geometry for phylogenetic trees
• Information geometry of covariance matrix: Cartan-Siegel homogeneous bounded domains, Mostow/Berger fibration and Fréchet median
• Moore-Penrose inverse of a hollow symmetric matrix and a predistance matrix
• On Rebonato and Jäckel's parametrization method for finding nearest correlation matrices
• Partial correlation estimation by joint sparse regression models
• Probabilistic graphical models.
• Riemannian Geometry of Symmetric Positive Definite Matrices via Cholesky Decomposition
• Riemannian metrics on positive definite matrices related to means
• Scaling of matrices to achieve specified row and column sums
• Scaling of symmetric matrices by positive diagonal congruence
• Theoretically and Computationally Convenient Geometries on Full-Rank Correlation Matrices
• \(O(n)\)-invariant Riemannian metrics on SPD matrices
• cCorrGAN: conditional correlation GAN for learning empirical conditional distributions in the elliptope

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