Entropic covariance models

arXiv:2306.03590v3 Announce Type: replace-cross
Abstract: In covariance matrix estimation, one of the challenges lies in finding a suitable model and an efficient estimation method. Two commonly used modelling approaches in the literature involve imposing linear restrictions on the covariance matrix or its inverse. Another approach considers linear restrictions on the matrix logarithm of the covariance matrix. In this paper, we present a general framework for linear restrictions on different transformations of the covariance matrix, including the mentioned examples. Our proposed …

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