Density estimation and modeling on symmetric spaces

09/04/2020 ∙ by Didong Li, et al. ∙ 0

In many applications, data and/or parameters are supported on non-Euclidean manifolds. It is important to take into account the geometric structure of manifolds in statistical analysis to avoid misleading results. Although there has been a considerable focus on simple and specific manifolds, there is a lack of general and easy-to-implement statistical methods for density estimation and modeling on manifolds. In this article, we consider a very broad class of manifolds: non-compact Riemannian symmetric spaces. For this class, we provide a very general mathematical result for easily calculating volume changes of the exponential and logarithm map between the tangent space and the manifold. This allows one to define statistical models on the tangent space, push these models forward onto the manifold, and easily calculate induced distributions by Jacobians. To illustrate the statistical utility of this theoretical result, we provide a general method to construct distributions on symmetric spaces. In particular, we define the log-Gaussian distribution as an analogue of the multivariate Gaussian distribution in Euclidean space. With these new kernels on symmetric spaces, we also consider the problem of density estimation. Our proposed approach can use any existing density estimation approach designed for Euclidean spaces and push it forward to the manifold with an easy-to-calculate adjustment. We provide theorems showing that the induced density estimators on the manifold inherit the statistical optimality properties of the parent Euclidean density estimator; this holds for both frequentist and Bayesian nonparametric methods. We illustrate the theory and practical utility of the proposed approach on the space of positive definite matrices.

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