Related papers: Correlation tests and sample spectral coherence ma…
We study the spectral properties of a class of random matrices of the form $S_n^{-} = n^{-1}(X_1 X_2^* - X_2 X_1^*)$ where $X_k = \Sigma^{1/2}Z_k$, for $k=1,2$, $Z_k$'s are independent $p\times n$ complex-valued random matrices, and…
We discuss the constraints imposed on the nonlinear evolution of the Large Scale Structure (LSS) of the universe by galilean invariance, the symmetry relevant on subhorizon scales. Using Ward identities associated to the invariance, we…
We formulate nonparametric and semiparametric hypothesis testing of multivariate stationary linear time series in a unified fashion and propose new test statistics based on estimators of the spectral density matrix. The limiting…
Sample covariance matrix and multivariate $F$-matrix play important roles in multivariate statistical analysis. The central limit theorems {\sl (CLT)} of linear spectral statistics associated with these matrices were established in Bai and…
Let $\mathbf {x}_1,\ldots,\mathbf {x}_n$ be a random sample from a $p$-dimensional population distribution, where $p=p_n\to\infty$ and $\log p=o(n^{\beta})$ for some $0<\beta\leq1$, and let $L_n$ be the coherence of the sample correlation…
In this note, we establish an asymptotic expansion for the centering parameter appearing in the central limit theorems for linear spectral statistic of large-dimensional sample covariance matrices when the population has a spiked covariance…
The spectrum and coherency are useful quantities for characterizing the temporal correlations and functional relations within and between point processes. This paper begins with a review of these quantities, their interpretation and how…
Let $\mathbf{X}_n=(x_{ij})$ be a $k \times n$ data matrix with complex-valued, independent and standardized entries satisfying a Lindeberg-type moment condition. We consider simultaneously $R$ sample covariance matrices…
Let $\mathbf{Q}=(Q_1,\ldots,Q_n)$ be a random vector drawn from the uniform distribution on the set of all $n!$ permutations of $\{1,2,\ldots,n\}$. Let $\mathbf{Z}=(Z_1,\ldots,Z_n)$, where $Z_j$ is the mean zero variance one random variable…
In this paper new tests for the independence of two high-dimensional vectors are investigated. We consider the case where the dimension of the vectors increases with the sample size and propose multivariate analysis of variance-type…
A fundamental concept in multivariate statistics, sample correlation matrix, is often used to infer the correlation/dependence structure among random variables, when the population mean and covariance are unknown. A natural block extension…
We establish the limiting spectral distribution of Kendall's correlation matrices in the moderate high-dimensional regime where the dimension grows slower than the sample size. Our framework allows observations to be independent but not…
We study the spectral properties of a class of random matrices of the form $S_n^{-} = n^{-1}(X_1 X_2^* - X_2 X_1^*)$ where $X_k = \Sigma_k^{1/2}Z_k$, $Z_k$'s are independent $p\times n$ complex-valued random matrices, and $\Sigma_k$ are…
In the case where the dimension of the data grows at the same rate as the sample size we prove a central limit theorem for the difference of a linear spectral statistic of the sample covariance and a linear spectral statistic of the matrix…
A useful approach for analysing multiple time series is via characterising their spectral density matrix as the frequency domain analog of the covariance matrix. When the dimension of the time series is large compared to their length,…
A repetition free Longest Common Subsequence (LCS) of two sequences x and y is an LCS of x and y where each symbol may appear at most once. Let R denote the length of a repetition free LCS of two sequences of n symbols each one chosen…
We study linear spectral statistics of high dimensional sample covariance matrices in a regime where the empirical spectral distribution remains governed by the classical sample covariance law but the fluctuation theory is nonclassical. Our…
The Consistency Relations for the Large Scale Structure provide a link between the amplitude of Baryonic Acoustic Oscillations in the squeezed bispectrum (BS) and in the power spectrum (PS). This relation depends on the large scale bias of…
In the statistical inference for long range dependent time series the shape of the limit distribution typically depends on unknown parameters. Therefore, we propose to use subsampling. We show the validity of subsampling for general…
We study the resonance fluorescence properties of an optically active spin 1/2 system, elucidating the effects of a magnetic field on the coherence of the scattered light. We derive a master equation model for this system that reproduces…