Kernel Density Estimation for Random Symmetric Positive Definite Matrices
Random matrix generation from first-order autoregressive Wishart proce...
Random matrix generation from Wishart distribution
Target densities for simulation study
Integrated squared error via Monte Carlo
Kullback-Leibler divergence via Monte Carlo
Target densities for simulation study
Log of sum with precision
Signed sum with precision
Symmetrize matrix
Bandwidth optimization for symmetric matrix kernels
Density of inverse Wishart random matrix
Matrix beta type II density function
Symmetric matrix-variate lognormal density
Symmetric matrix-variate normal density
Density of Wishart random matrix
Integration with respect to symmetric positive definite matrices
Symmetric matrix log-normal kernel density
Symmetric matrix normal kernel density
Kernel density estimators for symmetric matrices
Wishart kernel density
Likelihood cross-validation for symmetric positive definite matrix ker...
Likelihood cross validation criterion for symmetric matrix lognormal k...
Likelihood cross validation criterion for symmetric matrix normal kern...
Likelihood cross validation criterion for Wishart kernel
Least square cross validation criterion for log symmetric matrix norma...
Least square cross validation criterion for Wishart kernel
Log of mean with precision
Multivariate gamma function
Solver for Riccati equation
Random matrix generation from the inverse Wishart distribution
Random matrix generation from matrix beta type II distribution
Random vector generation from the multivariate normal distribution
Rotation matrix with scaling for Monte Carlo integration
Rotation matrix for 2 dimensional problems
Rotation matrix for 3 dimensional problems
Random generation from first-order vector autoregressive model
Kernel smoothing for Wishart random matrices described in Daayeb, Khardani and Ouimet (2025) <doi:10.48550/arXiv.2506.08816>, Gaussian and log-Gaussian models using least square or likelihood cross validation criteria for optimal bandwidth selection.