Related papers: Correlation tests and sample spectral coherence ma…
In this paper, we consider an estimation problem concerning the matrix of correlation coefficients in context of high dimensional data settings. In particular, we revisit some results in Li and Rolsalsky [Li, D. and Rolsalsky, A. (2006).…
Consider an $n \times p$ data matrix $X$ whose rows are independently sampled from a population with covariance $\Sigma$. When $n,p$ are both large, the eigenvalues of the sample covariance matrix are substantially different from those of…
We analyze the spectral properties of large, time-lagged correlation matrices using the tools of random matrix theory. We compare predictions of the one-dimensional spectra, based on approaches already proposed in the literature. Employing…
Due to their sub picosecond temporal resolution, coherent Raman spectroscopies have been proposed as a viable extension of Spontaneous Raman (SR) thermometry, to determine dynamics of mode specific vibrational energy content during out of…
In the analysis and control of discrete-time linear time-invariant systems, the spectral radius of the system state matrix plays an essential role. Usually, it is assumed that system matrices are known, from which the spectral radius can be…
We propose a new testing procedure of heteroskedasticity in high-dimensional linear regression, where the number of covariates can be larger than the sample size. Our testing procedure is based on residuals of the Lasso. We demonstrate that…
In this paper, we study the simultaneous stability problem of a finite number of locally inter-connected linear subsystems under practical constraints, including asynchronous and aperiodic sampling, time-varying delays, and measurement…
We give a new, very general, formulation of the compressed sensing problem in terms of coordinate projections of an analytic variety, and derive sufficient sampling rates for signal reconstruction. Our bounds are linear in the coherence of…
We introduce a new method for two-sample testing of high-dimensional linear regression coefficients without assuming that those coefficients are individually estimable. The procedure works by first projecting the matrices of covariates and…
In this paper, we present an alternative method for the spectral analysis of a univariate, strictly stationary time series $\{Y_t\}_{t\in \mathbb {Z}}$. We define a "new" spectrum as the Fourier transform of the differences between copulas…
It recently has been found that methods of the statistical theories of spectra can be a useful tool in the analysis of spectra far from levels of Hamiltonian systems. Several examples originate from areas, such as quantitative linguistics…
This chapter discusses correlation analysis of stationary multivariate Gaussian time series in the spectral or Fourier domain. The goal is to identify the hub time series, i.e., those that are highly correlated with a specified number of…
It is a common saying that testing for conditional independence, i.e., testing whether whether two random vectors $X$ and $Y$ are independent, given $Z$, is a hard statistical problem if $Z$ is a continuous random variable (or vector). In…
A central limit theorem (CLT) for the smoothed empirical spectral distribution of sample covariance matrices is established. Moreover, the CLTs for the smoothed quantiles of Marcenko and Pastur's law have been also developed.
The rapid adoption of synthetic data for training Large Language Models (LLMs) has introduced the technical challenge of "model collapse"-a degenerative process where recursive training on model-generated content leads to a contraction of…
Linial-Meshulam complex is a random simplicial complex on $n$ vertices with a complete $(d-1)$-dimensional skeleton and $d$-simplices occurring independently with probability p. Linial-Meshulam complex is one of the most studied…
The bispectrum is the leading non-Gaussian statistic in Large-Scale Structure (LSS) clustering and encodes the interactions in the underlying field. It is thus an important diagnostic for primordial non-Gaussianity and higher order galaxy…
In this paper, our interest is in the problem of simultaneous hypothesis testing when the test statistics corresponding to the individual hypotheses are possibly correlated. Specifically, we consider the case when the test statistics…
We place ourselves in the setting of high-dimensional statistical inference, where the number of variables $p$ in a data set of interest is of the same order of magnitude as the number of observations $n$. More formally, we study the…
Consider the sample covariance matrix $$\Sigma^{1/2}XX^T\Sigma^{1/2}$$ where $X$ is an $M\times N$ random matrix with independent entries and $\Sigma$ is an $M\times M$ diagonal matrix. It is known that if $\Sigma$ is deterministic, then…