Related papers: The spectrum of kernel random matrices

We study the spectral norm of N-dimensional hermitian random matrices whose entries are zero outside of the band of the width b along the principal diagonal. Inside this band the elements are given by gaussian centered jointly independent…

Results on the spectral behavior of random matrices as the dimension increases are applied to the problem of detecting the number of sources impinging on an array of sensors. A common strategy to solve this problem is to estimate the…

The coherence of a random matrix, which is defined to be the largest magnitude of the Pearson correlation coefficients between the columns of the random matrix, is an important quantity for a wide range of applications including…

We consider the sample covariance matrices of large data matrices which have i.i.d. complex matrix entries and which are non-square in the sense that the difference between the number of rows and the number of columns tends to infinity. We…

Let $f$ be the $\mathbb{F}_q$-linear map over $\mathbb{F}_{q^{2n}}$ defined by $x\mapsto x+ax^{q^s}+bx^{q^{n+s}}$ with $\gcd(n,s)=1$. It is known that the kernel of $f$ has dimension at most $2$, as proved by Csajb\'ok et al. in "A new…

Statistical inferences for sample correlation matrices are important in high dimensional data analysis. Motivated by this, this paper establishes a new central limit theorem (CLT) for a linear spectral statistic (LSS) of high dimensional…

Suppose $\mathbf Y_n=(\mathbf y_1,\cdots,\mathbf y_n)$ is a $p\times n$ data matrix whose columns $\mathbf y_j, 1\leq j\leq n$ have different correlations. The asymptotic spectral property of $\mathbf S_n=\frac1n\mathbf Y_n\mathbf Y^*_n$…

We prove a large deviation result for a random symmetric n x n matrix with independent identically distributed entries to have a few eigenvalues of size n. If the spectrum S survives when the matrix is rescaled by a factor of n, it can only…

We study the spectrum of inner-product kernel matrices, i.e., $n \times n$ matrices with entries $h (\langle \textbf{x}_i ,\textbf{x}_j \rangle/d)$ where the $( \textbf{x}_i)_{i \leq n}$ are i.i.d.~random covariates in $\mathbb{R}^d$. In…

This review article provides an overview of random matrix theory (RMT) with a focus on its growing impact on the formulation and inference of statistical models and methodologies. Emphasizing applications within high-dimensional statistics,…

Estimating the number of spikes in a spiked model is an important problem in many areas such as signal processing. Most of the classical approaches assume a large sample size $n$ whereas the dimension $p$ of the observations is kept small.…

Multivariate statistical analysis is concerned with observations on several variables which are thought to possess some degree of inter-dependence. Driven by problems in genetics and the social sciences, it first flowered in the earlier…

In recent years, the spectral analysis of appropriately defined kernel matrices has emerged as a principled way to extract the low-dimensional structure often prevalent in high-dimensional data. Here we provide an introduction to spectral…

We investigate joint spectral characteristics of a family of matrices $\mathcal F $, associated with products in the semigroup generated by $\mathcal F$. In the literature, extremal measures such as the well-known joint spectral radius and…

This article proposes a first analysis of kernel spectral clustering methods in the regime where the dimension $p$ of the data vectors to be clustered and their number $n$ grow large at the same rate. We demonstrate, under a $k$-class…

In dealing with high-dimensional data sets, factor models are often useful for dimension reduction. The estimation of factor models has been actively studied in various fields. In the first part of this paper, we present a new approach to…

A non-Hermitean random matrix model proposed a few years ago has a remarkably intricate spectrum. Various attempts have been made to understand the spectrum, but even its dimension is not known. Using the Dyson-Schmidt equation, we show…

We investigate concentration properties of spectral measures of Hermitian random matrices with partially dependent entries. More precisely, let $X_n$ be a Hermitian random matrix of size $n\times n$ that can be split into independent blocks…

We study principal components regression (PCR) in an asymptotic high-dimensional regression setting, where the number of data points is proportional to the dimension. We derive exact limiting formulas for the estimation and prediction…

We investigate traces of powers of random matrices whose distributions are invariant under rotations (with respect to the Hilbert--Schmidt inner product) within a real-linear subspace of the space of $n\times n$ matrices. The matrices we…