40 citations · 67 across the 12 of their papers we have counts for
4 papers · 1 filter
Regularization of time-varying covariance matrices using linear stochastic systems
Lipeng Ning
This work focuses on modeling of time-varying covariance matrices using the state covariance of linear stochastic systems. Following concepts from optimal mass transport and the Sc…
Regularization and Interpolation of Positive Matrices
Kaoru Yamamoto, Yongxin Chen, Lipeng Ning +2
We consider certain matricial analogues of optimal mass transport of positive definite matrices of equal trace. The framework is motivated by the need to devise a suitable geometry…
Geometric methods for estimation of structured covariances
Lipeng Ning, Xianhua Jiang, Tryphon Georgiou
We consider problems of estimation of structured covariance matrices, and in particular of matrices with a Toeplitz structure. We follow a geometric viewpoint that is based on some…
Distances and Riemannian metrics for multivariate spectral densities
Xianhua Jiang, Lipeng Ning, Tryphon T. Georgiou
We first introduce a class of divergence measures between power spectral density matrices. These are derived by comparing the suitability of different models in the context of opti…