Related papers: A new non-parametric Kendall's tau for matrix-valu…
Matrix-variate time series data are largely available in applications. However, no attempt has been made to study their conditional heteroskedasticity that is often observed in economic and financial data. To address this gap, we propose a…
Invariant ensemble, which are characterised by the joint distribution of eigenvalues $P(\lambda_1,\ldots,\lambda_N)$, play a central role in random matrix theory. We consider the truncated linear statistics $L_K = \sum_{n=1}^K f(\lambda_n)$…
This paper considers a restriction to non-negative matrix factorization in which at least one matrix factor is stochastic. That is, the elements of the matrix factors are non-negative and the columns of one matrix factor sum to 1. This…
An inner-product Hilbert space formulation of the Kemeny distance is defined over the domain of all permutations with ties upon the extended real line, and results in an unbiased minimum variance (Gauss-Markov) correlation estimator upon a…
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the constancy of the conditional dependence structure when some…
Data for several applications in diverse fields can be represented as multiple matrices that are linked across rows or columns. This is particularly common in molecular biomedical research, in which multiple molecular "omics" technologies…
The nonparametric formulation of density-based clustering, known as modal clustering, draws a correspondence between groups and the attraction domains of the modes of the density function underlying the data. Its probabilistic foundation…
Tensor decomposition is a powerful computational tool for multiway data analysis. Many popular tensor decomposition approaches---such as the Tucker decomposition and CANDECOMP/PARAFAC (CP)---amount to multi-linear factorization. They are…
We consider solvable matrix models. We generalize Harish-Chandra-Itzykson-Zuber and certain other integrals (Gross-Witten integral and integrals over complex matrices) using the notion of tau function of matrix argument. In this case one…
This article studies the \emph{robust covariance matrix estimation} of a data collection $X = (x_1,\ldots,x_n)$ with $x_i = \sqrt \tau_i z_i + m$, where $z_i \in \mathbb R^p$ is a \textit{concentrated vector} (e.g., an elliptical random…
Common clustering methods, such as $k$-means and convex clustering, group similar vector-valued observations into clusters. However, with the increasing prevalence of matrix-valued observations, which often exhibit low rank characteristics,…
We study the hermitean and normal two matrix models in planar approximation for an arbitrary number of eigenvalue supports. Its planar graph interpretation is given. The study reveals a general structure of the underlying analytic complex…
The most popular ways to test for independence of two ordinal random variables are by means of Kendall's tau and Spearman's rho. However, such tests are not consistent, only having power for alternatives with ``monotonic'' association. In…
The $\tau$-function theory of Painlev\'e systems is used to derive recurrences in the rank $n$ of certain random matrix averages over U(n). These recurrences involve auxilary quantities which satisfy discrete Painlev\'e equations. The…
Undirected graphical models are powerful tools for uncovering complex relationships among high-dimensional variables. This paper aims to fully recover the structure of an undirected graphical model when the data naturally take matrix form,…
Riemannian Gaussian distributions were initially introduced as basic building blocks for learning models which aim to capture the intrinsic structure of statistical populations of positive-definite matrices (here called covariance…
We review the recent developments in the theory of normal, normal self-dual and general complex random matrices. The distribution and correlations of the eigenvalues at large scales are investigated in the large $N$ limit. The 1/N expansion…
For certain types of quantum graphs we show that the random-matrix form factor can be recovered to at least third order in the scaled time $\tau$ from periodic-orbit theory. We consider the contributions from pairs of periodic orbits…
A generalized covariant method of analysis applicable to frames for which time is not orthogonal to space, such as spacetime around a star possessing angular momentum or on a rotating disk, is presented. Important aspects of such an…
Truncated data plays an important role in the statistical analysis of astronomical observations as well as in survival analysis. The motivating example for this paper concerns a set of measurements on quasars in which there is double…