Riemannian statistics meets random matrix theory: towards learning from high-dimensional covariance matrices

no code implementations • 1 Mar 2022 • Salem Said, Simon Heuveline, Cyrus Mostajeran

Its main contribution is to prove that Riemannian Gaussian distributions of real, complex, or quaternion covariance matrices are equivalent to orthogonal, unitary, or symplectic log-normal matrix ensembles.