Description
Kernel Density Estimation for Random Symmetric Positive Definite Matrices.
Description
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.
README.md
Kernel Density Estimation for Random Symmetric Positive Definite Matrices
An R package with Wishart, log-Gaussian and Gaussian kernels for positive definite matrices, with optimal bandwidth selection based on least square cross validation or leave-one-out cross-validation criteria.