Fast, asymptotically efficient, recursive estimation in a Riemannian manifold

Stochastic optimisation in Riemannian manifolds, especially the Riemannian stochastic gradient method, has attracted much recent attention. The present work applies stochastic optimisation to the task of recursive estimation of a statistical parameter which belongs to a Riemannian manifold. Roughly, this task amounts to stochastic minimisation of a statistical divergence function. The following problem is considered : how to obtain fast, asymptotically efficient, recursive estimates, using a Riemannian stochastic optimisation algorithm with decreasing step sizes? In solving this problem, several original results are introduced. First, without any convexity assumptions on the divergence function, it is proved that, with an adequate choice of step sizes, the algorithm computes recursive estimates which achieve a fast non-asymptotic rate of convergence. Second, the asymptotic normality of these recursive estimates is proved, by employing a novel linearisation technique. Third, it is proved that, when the Fisher information metric is used to guide the algorithm, these recursive estimates achieve an optimal asymptotic rate of convergence, in the sense that they become asymptotically efficient. These results, while relatively familiar in the Euclidean context, are here formulated and proved for the first time, in the Riemannian context. In addition, they are illustrated with a numerical application to the recursive estimation of elliptically contoured distributions.Comment: updated version of draft submitted for publication, currently under revie

Higher Order Statistsics of Stokes Parameters in a Random Birefringent Medium

We present a new model for the propagation of polarized light in a random birefringent medium. This model is based on a decomposition of the higher order statistics of the reduced Stokes parameters along the irreducible representations of the rotation group. We show how this model allows a detailed description of the propagation, giving analytical expressions for the probability densities of the Mueller matrix and the Stokes vector throughout the propagation. It also allows an exact description of the evolution of averaged quantities, such as the degree of polarization. We will also discuss how this model allows a generalization of the concepts of reduced Stokes parameters and degree of polarization to higher order statistics. We give some notes on how it can be extended to more general random media

Riemannian Gaussian distributions on the space of positive-definite quaternion matrices

Recently, Riemannian Gaussian distributions were defined on spaces of positive-definite real and complex matrices. The present paper extends this definition to the space of positive-definite quaternion matrices. In order to do so, it develops the Riemannian geometry of the space of positive-definite quaternion matrices, which is shown to be a Riemannian symmetric space of non-positive curvature. The paper gives original formulae for the Riemannian metric of this space, its geodesics, and distance function. Then, it develops the theory of Riemannian Gaussian distributions, including the exact expression of their probability density, their sampling algorithm and statistical inference.Comment: 8 pages, submitted to GSI 201

Fast complexified quaternion Fourier transform

A discrete complexified quaternion Fourier transform is introduced. This is a generalization of the discrete quaternion Fourier transform to the case where either or both of the signal/image and the transform kernel are complex quaternion-valued. It is shown how to compute the transform using four standard complex Fourier transforms and the properties of the transform are briefly discussed

Conformally Covariant Bi-Differential Operators on a Simple Real Jordan Algebra

For a simple real Jordan algebra $V,$ a family of bi-differential operators from $\mathcal{C}^\infty(V\times V)$ to $\mathcal{C}^\infty(V)$ is constructed. These operators are covariant under the rational action of the conformal group of $V.$ They generalize the classical {\em Rankin-Cohen} brackets (case $V=\mathbb{R}$)