Related papers: High Dimensional Statistical Inference and Random …
This review article provides an overview of random matrix theory (RMT) with a focus on its growing impact on the formulation and inference of statistical models and methodologies. Emphasizing applications within high-dimensional statistics,…
Large-dimensional random matrix theory, RMT for short, which originates from the research field of quantum physics, has shown tremendous capability in providing deep insights into large dimensional systems. With the fact that we have…
Random matrix theory (RMT) provides a successful model for quantum systems, whose classical counterpart has a chaotic dynamics. It is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Last decade witnessed…
Since it was first applied to the study of nuclear interactions by Wigner and Dyson, almost 60 years ago, Random Matrix Theory (RMT) has developed into a field of its own within applied mathematics, and is now essential to many parts of…
Random matrix theory (RMT) is based on two assumptions: (1) matrix-element independence, and (2) base invariance. Most of the proposed generalizations keep the first assumption and violate the second. Recently, several authors presented…
Some tools and ideas are interchanged between random matrix theory and multivariate statistics. In the context of the random matrix theory, classes of spherical and generalised Wishart random matrix ensemble, containing as particular cases…
For high dimensional data, some of the standard statistical techniques do not work well. So modification or further development of statistical methods are necessary. In this paper, we explore these modifications. We start with the important…
High-dimensional multivariate longitudinal data, which arise when many outcome variables are measured repeatedly over time, are becoming increasingly common in social, behavioral and health sciences. We propose a latent variable model for…
Over the past two decades, the field of high-dimensional statistics has experienced substantial progress, driven largely by technological advances that have dramatically reduced the cost and effort for data collection and storage across a…
This article carries out a large dimensional analysis of standard regularized discriminant analysis classifiers designed on the assumption that data arise from a Gaussian mixture model with different means and covariances. The analysis…
These lecture notes provide a comprehensive, self-contained introduction to the analysis of Wishart matrix moments. This study may act as an introduction to some particular aspects of random matrix theory, or as a self-contained exposition…
A new, coordinate-free (geometric) approach to multivariate statistical analysis. General multivariate linear models and linear hypotheses are defined in geometric form. A method of constructing statistical criteria is defined for linear…
Model-based analysis tools, built on assumptions and simplifications, are difficult to handle smart grids with data characterized by 4Vs data. This paper, using random matrix theory (RMT), motivates data-driven tools to perceive the complex…
Extreme value statistics provides accurate estimates for the small occurrence probabilities of rare events. While theory and statistical tools for univariate extremes are well-developed, methods for high-dimensional and complex data sets…
We review the development of random-matrix theory (RMT) during the last decade. We emphasize both the theoretical aspects, and the application of the theory to a number of fields. These comprise chaotic and disordered systems, the…
It is described how one comes to the Wigner-Dyson random matrix theory (RMT) starting from a model of a disordered metal. The lectures start with a historical introduction where basic ideas of the RMT and theory of disordered metals are…
This article provides an overview on the statistical modeling of complex data as increasingly encountered in modern data analysis. It is argued that such data can often be described as elements of a metric space that satisfies certain…
Random feature maps are ubiquitous in modern statistical machine learning, where they generalize random projections by means of powerful, yet often difficult to analyze nonlinear operators. In this paper, we leverage the "concentration"…
Data exhibiting heavy-tails in one or more dimensions is often studied using the framework of regular variation. In a multivariate setting this requires identifying specific forms of dependence in the data; this means identifying that the…
Scattering of electromagnetic waves in billiard-like systems has become a standard experimental tool of studying properties associated with Quantum Chaos. Random Matrix Theory (RMT) describing statistics of eigenfrequencies and associated…