Related papers: Detecting Spectral Breaks in Spiked Covariance Mod…
We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints,…
We compute the limiting distributions of the largest eigenvalue of a complex Gaussian sample covariance matrix when both the number of samples and the number of variables in each sample become large. When all but finitely many, say $r$,…
The aim of this paper is to establish several deep theoretical properties of principal component analysis for multiple-component spike covariance models. Our new results reveal a surprising asymptotic conical structure in critical sample…
In this paper we consider two semimartingales driven by diffusions and jumps. We allow both for finite activity and for infinite activity jump components. Given discrete observations we disentangle the {\it integrated covariation} (the…
Principal component analysis (PCA) aims at estimating the direction of maximal variability of a high-dimensional dataset. A natural question is: does this task become easier, and estimation more accurate, when we exploit additional…
We study the problem of detecting the presence of a single unknown spike in a rectangular data matrix, in a high-dimensional regime where the spike has fixed strength and the aspect ratio of the matrix converges to a finite limit. This…
We study the computational task of detecting and estimating correlated signals in a pair of spiked matrices $$ X=\tfrac{\lambda}{\sqrt{n}} xu^{\top}+W, \quad Y=\tfrac{\mu}{\sqrt{n}} yv^{\top}+Z $$ where the spikes $x,y$ have correlation…
This paper deals with the problem of estimating the covariance matrix of a series of independent multivariate observations, in the case where the dimension of each observation is of the same order as the number of observations. Although…
In sparse principal component analysis we are given noisy observations of a low-rank matrix of dimension $n\times p$ and seek to reconstruct it under additional sparsity assumptions. In particular, we assume here each of the principal…
Motivated by dimension reduction in regression analysis and signal detection, we investigate the order determination for large dimension matrices including spiked models of which the numbers of covariates are proportional to the sample…
By varying the noise intensity, we study stochastic spiking coherence (i.e., collective coherence between noise-induced neural spikings) in an inhibitory population of subthreshold neurons (which cannot fire spontaneously without noise).…
We study sample covariance matrices of the form $W=\frac 1n C C^T$, where $C$ is a $k\times n$ matrix with i.i.d. mean zero entries. This is a generalization of so-called Wishart matrices, where the entries of $C$ are independent and…
Recently, inference about high-dimensional integrated covariance matrices (ICVs) based on noisy high-frequency data has emerged as a challenging problem. In the literature, a pre-averaging estimator (PA-RCov) is proposed to deal with the…
This paper aims to derive asymptotical distributions of the spiked eigenvalues of the large-dimensional spiked Fisher matrices without Gaussian assumption and the restrictive assumptions on covariance matrices. We first establish invariance…
In this paper, we study the empirical spectral distribution of Spearman's rank correlation matrices, under the assumption that the observations are independent and identically distributed random vectors and the features are correlated. We…
Spectral properties of random matrices play an important role in statistics, machine learning, communications, and many other areas. Engaging results regarding the convergence of the empirical spectral distribution (ESD) and the…
We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for…
Extracting the spectral representations of the neural processes that underlie spiking activity is key to understanding how the brain rhythms mediate cognitive functions. While spectral estimation of continuous time-series is well studied,…
Statistics derived from the eigenvalues of sample covariance matrices are called spectral statistics, and they play a central role in multivariate testing. Although bootstrap methods are an established approach to approximating the laws of…
How can we discern whether the covariance operator of a stochastic process is of reduced rank, and if so, what its precise rank is? And how can we do so at a given level of confidence? This question is central to a great deal of methods for…