On the geometry of covariance matrices

Lipeng Ning, Xianhua Jiang, Tryphon Georgiou

Research output: Contribution to journalArticlepeer-review

13 Scopus citations

Abstract

We introduce and compare certain distance measures between covariance matrices. These originate in information theory, quantum mechanics and optimal transport. More specifically, we show that the Bures/Hellinger distance between covariance matrices coincides with the Wasserstein-2 distance between the corresponding Gaussian distributions. We also note that this Bures/Hellinger/Wasserstein distance can be expressed as the solution to a linear matrix inequality (LMI). A consequence of this fact is that the computational cost in covariance approximation problems scales nicely with the size of the matrices involved. We discuss the relevance of this metric in spectral-line detection and spectral morphing.

Original languageEnglish (US)
Article number6523941
Pages (from-to)787-790
Number of pages4
JournalIEEE Signal Processing Letters
Volume20
Issue number8
DOIs
StatePublished - 2013

Fingerprint Dive into the research topics of 'On the geometry of covariance matrices'. Together they form a unique fingerprint.

Cite this