相关论文: Spiked separable covariance matrices and principal…

We consider the five classes of multivariate statistical problems identified by James (1964), which together cover much of classical multivariate analysis, plus a simpler limiting case, symmetric matrix denoising. Each of James' problems…

Let the dimension $N$ of data and the sample size $T$ tend to $\infty$ with $N/T \to c > 0$. The spectral properties of a sample correlation matrix $\mathbf{C}$ and a sample covariance matrix $\mathbf{S}$ are asymptotically equal whenever…

We study the estimation of the high-dimensional covariance matrix andits eigenvalues under dynamic volatility models. Data under such modelshave nonlinear dependency both cross-sectionally and temporally. We firstinvestigate the empirical…

We consider a multichannel wire with a disordered region of length $L$ and a reflecting boundary. The reflection of a wave of frequency $\omega$ is described by the scattering matrix $\mathcal{S}(\omega)$, encoding the probability…

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…

The entanglement spectrum describing quantum correlations in many-body systems has been recently recognized as a key tool to characterize different quantum phases, including topological ones. Here we derive its analytically scaling…

We study the principal parts bundles $P^k (L)$ of the degree $d$ line bundle $L$ on the $n$ dimensional projective space as homogeneous bundles and we describe their associated quiver representations. We use this approach to show that if…

Sparseness of the regression coefficient vector is often a desirable property, since, among other benefits, sparseness improves interpretability. In practice, many true regression coefficients might be negligibly small, but non-zero, which…

This paper introduces a novel framework called Mode-wise Principal Subspace Pursuit (MOP-UP) to extract hidden variations in both the row and column dimensions for matrix data. To enhance the understanding of the framework, we introduce a…

We consider sample covariance matrices $S_N=\frac{1}{p}\Sigma_N^{1/2}X_NX_N^* \Sigma_N^{1/2}$ where $X_N$ is a $N \times p$ real or complex matrix with i.i.d. entries with finite $12^{\rm th}$ moment and $\Sigma_N$ is a $N \times N$…

Using the framework of the quantum separation of variables (SoV) for higher rank quantum integrable lattice models [1], we introduce some foundations to go beyond the obtained complete transfer matrix spectrum description, and open the way…

This paper investigates the central limit theorem for linear spectral statistics of high dimensional sample covariance matrices of the form $\mathbf{B}_n=n^{-1}\sum_{j=1}^{n}\mathbf{Q}\mathbf{x}_j\mathbf{x}_j^{*}\mathbf{Q}^{*}$ where…

We propose a principal components regression method based on maximizing a joint pseudo-likelihood for responses and predictors. Our method uses both responses and predictors to select linear combinations of the predictors relevant for the…

We consider the hermitian random matrix model with external source and general polynomial potential, when the source has two distinct eigenvalues but is otherwise arbitrary. All such models studied so far have a common feature: an…

In this paper we consider the spin 1/2 highest weight representations for the 6-vertex Yang-Baxter algebra on a finite lattice and analyze the integrable quantum models associated to the antiperiodic transfer matrix. For these models, which…

Consider the matrix $\Sigma_n = n^{-1/2} X_n D_n^{1/2} + P_n$ where the matrix $X_n \in \C^{N\times n}$ has Gaussian standard independent elements, $D_n$ is a deterministic diagonal nonnegative matrix, and $P_n$ is a deterministic matrix…

Due to their parsimony, separable covariance models have been popular in modeling matrix-variate data. However, the inference from such a model may be misleading if the population covariance matrix $\Sigma$ is actually non-separable,…

Let $\bbZ_{M_1\times N}=\bbT^{\frac{1}{2}}\bbX$ where $(\bbT^{\frac{1}{2}})^2=\bbT$ is a positive definite matrix and $\bbX$ consists of independent random variables with mean zero and variance one. This paper proposes a unified matrix…

We show that correlation matrices with particular average and variance of the correlation coefficients have a notably restricted spectral structure. Applying geometric methods, we derive lower bounds for the largest eigenvalue and the…

This paper derives the elliptical matrix variate version of the well known univariate Birnbaum and Saunders distribution. A generalisation based on a matrix transformation is proposed, instead of the independent element by element…