Concentrated matrix Langevin distributions

Authors:
Yasuko Chikuse
Affiliations:
Faculty of Engineering, Kagawa University, 2217-20 Hayashi-cho, Takamatsu, Kagawa 761-0396, Japan
Venue:
Journal of Multivariate Analysis
Year:
2003

Citing 5
Cited 0

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Introduction to matrix analysis (2nd ed.)

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Abstract

This paper concerns the matrix Langevin distributions, exponential-type distributions defined on the two manifolds of our interest, the Stiefel manifold Vk,m and the manifold Pk,m-k of m × m orthogonal projection matrices idempotent of rank k which is equivalent to the Grassmann manifold Gk,m-k. Asymptotic theorems are derived when the concentration parameters of the distributions are large. We investigate the asymptotic behavior of distributions of some (matrix) statistics constructed based on the sample mean matrices in connection with testing hypotheses of the orientation parameters, and obtain asymptotic results in the estimation of large concentration parameters and in the classification of the matrix Langevin distributions.