Riemannian Gaussian distributions, random matrix ensembles and diffusion kernels
Sign Up to like & getrecommendations! Published in 2021 at "Nuclear Physics B"
DOI: 10.1016/j.nuclphysb.2021.115582
Abstract: We show that the Riemannian Gaussian distributions on symmetric spaces, introduced in recent years, are of standard random matrix type. We exploit this to compute analytically marginals of the probability density functions. This can be… read more here.
Keywords: riemannian gaussian; diffusion; random matrix; case ... See more keywords
Riemannian Statistics Meets Random Matrix Theory: Toward Learning From High-Dimensional Covariance Matrices
Sign Up to like & getrecommendations! Published in 2022 at "IEEE Transactions on Information Theory"
DOI: 10.1109/tit.2022.3199479
Abstract: Riemannian Gaussian distributions were initially introduced as basic building blocks for learning models which aim to capture the intrinsic structure of statistical populations of positive-definite matrices (here called covariance matrices). While the potential applications of… read more here.
Keywords: covariance matrices; dimensional covariance; random matrix; covariance ... See more keywords