Inference for partially observed Riemannian Ornstein-Uhlenbeck diffusions of covariance matrices

DOI10.3150/22-BEJ1570MaRDI QIDQ6635722zbMATH OpenFDO

Authors Mai Ngoc Bui, Yvo Pokern, Petros Dellaportas

Publication date 12 November 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/22-BEJ1570

zbMATH Keywords

Ornstein-Uhlenbeck processRiemannian manifoldaffine-invariant metricpartially observed diffusionlog-Euclidean metric

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics (62Pxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cited in

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• Manifold-valued models for analysis of EEG time series data

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