Using Optimal Mass Transport for Tracking and Interpolation of Toeplitz Covariance Matrices
In this work, we propose a novel method for interpolation and extrapolation of Toeplitz structured covariance matrices. By considering a spectral representation of Toeplitz matrices, we use an optimal mass transport problem in the spectral domain in order to define a notion of distance between such matrices. The obtained optimal transport plan naturally induces a way of interpolating, as well as e
