Random matrix-improved estimation of covariance matrix distances

Romain Couillet, Malik Tiomoko, Steeve Zozor +1

Given two sets $x_1^{(1)},\dots ,x_{n_1}^{(1)}$ and $x_1^{(2)},\dots ,x_{n_2}^{(2)}\in {\mathbb{R}}^p$ (or ${\mathbb{C}}^p$) of random vectors with zero mean and positive definite covar…