相关论文: Central limit theorems for eigenvalues in a spiked…

The impact of spatial structure on the spread of an epidemic is an important issue in the propagation of infectious diseases. Recent studies, both deterministic and stochastic, have made it possible to understand the importance of the…

A central limit theorem is proved for some strictly stationary sequences of random variables that satisfy certain mixing conditions and are subjected to the "shrinking operators" $U_r(x):=[\max\{|x|-r,0\}]\cdot x/|x|,\ r \ge 0$. For…

Suppose that $\mathbf X_n=(x_{jk})$ is $N\times n$ whose elements are independent real variables with mean zero, variance 1 and the fourth moment equal to three. The separable sample covariance matrix is defined as $\mathbf{B}_n =…

In this paper we consider the asymptotic distributions of functionals of the sample covariance matrix and the sample mean vector obtained under the assumption that the matrix of observations has a matrix-variate location mixture of normal…

One of the major themes of random matrix theory is that many asymptotic properties of traditionally studied distributions of random matrices are universal. We probe the edges of universality by studying the spectral properties of random…

Randomized block factorial experiments are widely used in industrial engineering, clinical trials, and social science. Researchers often use a linear model and analysis of covariance to analyze experimental results; however, limited studies…

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…

We provide some asymptotic theory for the largest eigenvalues of a sample covariance matrix of a p-dimensional time series where the dimension p = p_n converges to infinity when the sample size n increases. We give a short overview of the…

Kernel methods are successful approaches for different machine learning problems. This success is mainly rooted in using feature maps and kernel matrices. Some methods rely on the eigenvalues/eigenvectors of the kernel matrix, while for…

Consider a Hermitian matrix model under an external potential with spiked external source. When the external source is of rank one, we compute the limiting distribution of the largest eigenvalue for general, regular, analytic potential for…

Since the appearance of H. Robbins article (1948), the central limit theorems for random sums have been studied for about 70 years. The central limit theorems for random sums of independent random variables play a very important role in…

We consider random matrices of the form $H_N=A_N+U_N B_N U^*_N$, where $A_N$, $B_N$ are two $N$ by $N$ deterministic Hermitian matrices and $U_N$ is a Haar distributed random unitary matrix. We establish a universal Central Limit Theorem…

We introduce a class of $M \times M$ sample covariance matrices $\mathcal Q$ which subsumes and generalizes several previous models. The associated population covariance matrix $\Sigma = \mathbb E \cal Q$ is assumed to differ from the…

We present a random-matrix realization of a two-dimensional percolation model with the occupation probability $p$. We find that the behavior of the model is governed by the two first extreme eigenvalues. While the second extreme eigenvalue…

Covariances and variances of linear statistics of a point process can be written as integrals over the truncated two-point correlation function. When the point process consists of the eigenvalues of a random matrix ensemble, there are often…

Determining the number of common factors is an important and practical topic in high dimensional factor models. The existing literatures are mainly based on the eigenvalues of the covariance matrix. Due to the incomparability of the…

We show that the linear statistics of eigenvalues of circulant matrix obey the Gaussian central limit theorem for a large class of input sequences.

A central limit theorem is established for a sum of random variables belonging to a sequence of random fields. The fields are assumed to have zero mean conditional on the past history and to satisfy certain conditional $\alpha$-mixing…

We study the joint limit distribution of the $k$ largest eigenvalues of a $p\times p$ sample covariance matrix $XX^\T$ based on a large $p\times n$ matrix $X$. The rows of $X$ are given by independent copies of a linear process,…

We study the linear eigenvalue statistics of large random graphs in the regimes when the mean number of edges for each vertex tends to infinity. We prove that for a rather wide class of test functions the fluctuations of linear eigenvalue…