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math.ST2024
Intrinsic Bayesian Cramér-Rao Bound with an Application to Covariance Matrix Estimation
Florent Bouchard, Alexandre Renaux, Guillaume Ginolhac +1
This paper presents a new performance bound for estimation problems where the parameter to estimate lies in a Riemannian manifold (a smooth manifold endowed with a Riemannian metri…
math.ST2024
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…