Related papers: Testing in high-dimensional spiked models

Estimation and hypothesis tests for the covariance matrix in high dimensions is a challenging problem as the traditional multivariate asymptotic theory is no longer valid. When the dimension is larger than or increasing with the sample…

We consider large complex random sample covariance matrices obtained from "spiked populations", that is when the true covariance matrix is diagonal with all but finitely many eigenvalues equal to one. We investigate the limiting behavior of…

We revisit the fundamental question of simple-versus-simple hypothesis testing with an eye towards computational complexity, as the statistically optimal likelihood ratio test is often computationally intractable in high-dimensional…

Rare and Weak models for multiple hypothesis testing assume that only a small proportion of the tested hypotheses concern non-null effects and the individual effects are only moderately large, so they generally do not stand out…

We discuss an application of the random matrix theory in the context of estimating the bipartite entanglement of a quantum system. We discuss how the Wishart ensemble (the earliest studied random matrix ensemble) appears in this quantum…

This paper investigates limiting properties of eigenvalues of multivariate sample spatial-sign covariance matrices when both the number of variables and the sample size grow to infinity. The underlying p-variate populations are general…

We propose a test of many zero parameter restrictions in a high dimensional linear iid regression model with $k$ $>>$ $n$ regressors. The test statistic is formed by estimating key parameters one at a time based on many low dimension…

This paper studies inference in linear models with a high-dimensional parameter matrix that can be well-approximated by a ``spiked low-rank matrix.'' A spiked low-rank matrix has rank that grows slowly compared to its dimensions and nonzero…

We consider the weak detection problem in a rank-one spiked Wigner data matrix where the signal-to-noise ratio is small so that reliable detection is impossible. We propose a hypothesis test on the presence of the signal by utilizing the…

We study estimation of the covariance matrix under relative condition number loss $\kappa(\Sigma^{-1/2} \hat{\Sigma} \Sigma^{-1/2})$, where $\kappa(\Delta)$ is the condition number of matrix $\Delta$, and $\hat{\Sigma}$ and $\Sigma$ are the…

In this paper, we investigate the asymptotic behaviors of the extreme eigenvectors in a general spiked covariance matrix, where the dimension and sample size increase proportionally. We eliminate the restrictive assumption of the block…

The identification of new rare signals in data, the detection of a sudden change in a trend, and the selection of competing models, are among the most challenging problems in statistical practice. These challenges can be tackled using a…

This paper considers the problem of detecting equal-shaped non-overlapping unimodal peaks in the presence of Gaussian ergodic stationary noise, where the number, location and heights of the peaks are unknown. A multiple testing approach is…

The correlated Wishart model provides the standard benchmark when analyzing time series of any kind. Unfortunately, the real case, which is the most relevant one in applications, poses serious challenges for analytical calculations. Often…

This paper deals with the problem of extracting the activity of individual neurons from multi-electrode recordings. Important aspects of this work are: 1) the sorting is done in two stages - a statistical model of the spikes from different…

We characterize the limiting smallest eigenvalue distributions (or hard edge laws) for sample covariance type matrices drawn from a spiked population. In the case of a single spike, the results are valid in the context of the general beta…

The paper "An efficient sampling scheme for the eigenvalues of dual Wishart matrices", by I.~Santamar\'ia and V.~Elvira, [\emph{IEEE Signal Processing Letters}, vol.~28, pp.~2177--2181, 2021] \cite{SE21}, poses the question of efficient…

Motivated by the estimation of covariance matrices by importance sampling arising in the cross-entropy (CE) algorithm, we study a random matrix model $\hat \Sigma = {\bf X} L {\bf X}^\top$ with two distinct features: $\bf X$ and $L$ are…

In a bivariate setting, we consider the problem of detecting a sparse contamination or mixture component, where the effect manifests itself as a positive dependence between the variables, which are otherwise independent in the main…

To understand how neural networks process information, it is important to investigate how neural network dynamics varies with respect to different stimuli. One challenging task is to design efficient statistical approaches to analyze…