The Reference Prior for Complex Covariance Matrices With Efficient Implementation Strategies

DOI10.1109/TSP.2009.2027768MaRDI QIDQ4570045zbMATH OpenFDO

Authors Lennart Svensson, Magnus Lundberg Nordenvaad

Publication date 9 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2009.2027768

Mathematics Subject Classification ID

Bayesian inference (62F15) Estimation in multivariate analysis (62H12) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited in

(1)

• Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

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