Lognormal Distributions and Geometric Averages of Symmetric Positive Definite Matrices
Lognormal Distributions and Geometric Averages of Symmetric Positive Definite Matrices
Summary This article gives a formal definition of a lognormal family of probability distributions on the set of symmetric positive definite (SPD) matrices, seen as a matrix‐variate extension of the univariate lognormal family of distributions. Two forms of this distribution are obtained as the large sample limiting distribution via the …