Elliptical Wishart Distribution: Maximum Likelihood Estimator from Information Geometry

Author:

Ayadi Imen1,Bouchard Florent1,Pascal Frédéric1

Affiliation:

1. Université Paris-Saclay,CNRS, CentraleSupélec, Laboratoire des Signaux et Systèmes,Gif-sur-Yvette,France,91190

Publisher

IEEE

Reference21 articles.

1. Wishart generator distribution;bekker;arXiv preprint arXiv 1502,2015

2. On Generalized Wishart Distributions - I: Likelihood Ratio Test for Homogeneity of Covariance Matrices

3. Optimization Algorithms on Matrix Manifolds

4. Matrix-variate distribution theory under elliptical models-4: Joint distribution of latent roots of covariance matrix and the largest and smallest latent roots

5. A survey and comparison of contemporary algorithms for computing the matrix geometric mean;jeuris;Electronic Transactions on Numerical Analysis,2012

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