Monitoring for a Phase Transition in a Time Series of Wigner Matrices

We develop methodology and theory for the detection of a phase transition in a time-series of high-dimensional random matrices. In the model we study, at each time point $t = 1,2,\ldots$, we observe a deformed Wigner matrix $\mathbf{M}_t$, where the unobservable deformation represents a latent signal. This signal is detectable only in the supercritical regime, and our objective is to detect the transition to this regime in real time, as new matrix--valued observations arrive. Our approach is based on a partial sum process of extremal eigenvalues of $\mathbf{M}_t$, and its theoretical analysis combines state-of-the-art tools from random-matrix-theory and Gaussian approximations. The resulting detector is self-normalized, which ensures appropriate scaling for convergence and a pivotal limit, without any additional parameter estimation. Simulations show excellent performance for varying dimensions. Applications to pollution monitoring and social interactions in primates illustrate the usefulness of our approach.