An Empirical Bayes Approach to Shrinkage Estimation on the Manifold of Symmetric Positive-Definite Matrices

Le résumé fourni par la source

The James–Stein estimator is an estimator of the multivariate normal mean and dominates the maximum likelihood estimator (MLE) under squared error loss. The original work inspired great interest in developing shrinkage estimators for a variety of problems. Nonetheless, research on shrinkage estimation for manifold-valued data is scarce. In this article, we propose shrinkage estimators for the parameters of the Log-Normal distribution defined on the manifold of N × N symmetric positive-definite matrices. For this manifold, we choose the Log-Euclidean metric as its Riemannian metric since it is easy to compute and has been widely used in a variety of applications. By using the Log-Euclidean distance in the loss function, we derive a shrinkage estimator in an analytic form and show that it is asymptotically optimal within a large class of estimators that includes the MLE, which is the sample Fréchet mean of the data. We demonstrate the performance of the proposed shrinkage estimator via several simulated data experiments. Additionally, we apply the shrinkage estimator to perform statistical inference in both diffusion and functional magnetic resonance imaging problems. Supplementary materials for this article are available online.

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