Elliptical Wishart Distribution: Maximum Likelihood Estimator from Information Geometry
Author:
Affiliation:
1. Université Paris-Saclay,CNRS, CentraleSupélec, Laboratoire des Signaux et Systèmes,Gif-sur-Yvette,France,91190
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10094559/10094560/10096222.pdf?arnumber=10096222
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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