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Statistical Estimation and Classification on Commutative Covariance Structures

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Abstract

Statistical inference is investigated under the following constraints on the covariance structure for the observation vector: covariance matrices belong to some commutative matrix algebra. Commutative approximation of arbitrary covariance structures and statistical estimation of the parameters of a given commutative structure are studied. The results are applied to statistical classification of Gaussian vectors having commutative covariance structure.

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  1. Russian Academy of Sciences, Trapeznikov Institute of Control Sciences, Moscow, Russia

    M. E. Shaikin

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  1. M. E. Shaikin
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Shaikin, M.E. Statistical Estimation and Classification on Commutative Covariance Structures. Automation and Remote Control 64, 1264–1274 (2003). https://doi.org/10.1023/A:1025027332541

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