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

Mai Ngoc Bui, Yvo Pokern, Petros Dellaportas

We construct a generalization of the Ornstein-Uhlenbeck processes on the cone of covariance matrices endowed with the Log-Euclidean and the Affine-Invariant metrics. Our developmen…