Title: Likelihood Geometry of Correlation Models
Statistics Seminar: Prof Dr Carlos Amendola (TUM/Universitat Ulm) — Likelihood Geometry of Correlation Models
Abstract: Correlation matrices are standardized covariance matrices. They form an affine space of symmetric matrices defined by setting the diagonal entries to one. We study the geometry of maximum likelihood estimation for this model and linear submodels that encode additional symmetries. We also consider the problem of minimizing two closely related functions of the covariance matrix: the Stein’s loss and the symmetrized Stein’s loss. Unlike the Gaussian log-likelihood, these two functions are convex and hence admit a unique positive definite optimum. This is joint work with Piotr Zwiernik.