2 papers
math.PR2025
Continuous-time filtering in Lie groups: estimation via the Fr{é}chet mean of solutions to stochastic differential equations
Magalie Bénéfice, Marc Arnaudon, Audrey Giremus
We compute the Fréchet mean of the solution to a continuous-time stochastic differential equation in a Lie group. It provides an estimator with minimal vari…
math.ST2024★ 1 cited
A New Statistic for Testing Covariance Equality in High-Dimensional Gaussian Low-Rank Models
Rémi Beisson, Pascal Vallet, Audrey Giremus +1
In this paper, we consider the problem of testing equality of the covariance matrices of L complex Gaussian multivariate time series of dimension . We study the special case wh…