2 papers
stat.CO2020
Low-rank multi-parametric covariance identification
Antoni Musolas, Estelle Massart, Julien M. Hendrickx +2
We propose a differential geometric construction for families of low-rank covariance matrices, via interpolation on low-rank matrix manifolds. In contrast with standard parametric…
stat.CO2020
Geodesically parameterized covariance estimation
Antoni Musolas, Steven T. Smith, Youssef Marzouk
Statistical modeling of spatiotemporal phenomena often requires selecting a covariance matrix from a covariance class. Yet standard parametric covariance families can be insufficie…