most citedGeodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

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stat.CO2016★ 3 cited

Geodesic Lagrangian Monte Carlo over the space of positive definite matrices: with application to Bayesian spectral density estimation

Andrew Holbrook, Shiwei Lan, Alexander Vandenberg-Rodes +1

We extend the application of Hamiltonian Monte Carlo to allow for sampling from probability distributions defined over symmetric or Hermitian positive definite matrices. To do so,…