相关论文: A universal test on spikes in a high-dimensional g…
In this paper, we study the eigenvalues and eigenvectors of the spiked invariant multiplicative models when the randomness is from Haar matrices. We establish the limits of the outlier eigenvalues $\widehat{\lambda}_i$ and the generalized…
Accurate statistical models of neural spike responses can characterize the information carried by neural populations. But the limited samples of spike counts during recording usually result in model overfitting. Besides, current models…
In this paper, we consider a data matrix $X_N\in\mathbb{R}^{N\times p}$ where all the rows are i.i.d. samples in $\mathbb{R}^p$ of mean zero and covariance matrix $\Sigma\in\mathbb{R}^{p\times p}$. Here the population matrix $\Sigma$ is of…
In random matrix theory, the spectral distribution of the covariance matrix has been well studied under the large dimensional asymptotic regime when the dimensionality and the sample size tend to infinity at the same rate. However, most…
We consider the problem of detecting the presence of a signal in a rank-one spiked Wigner model. For general non-Gaussian noise, assuming that the signal is drawn from the Rademacher prior, we prove that the log likelihood ratio (LR) of the…
A common problem in genetics is that of testing whether a set of highly dependent gene expressions differ between two populations, typically in a high-dimensional setting where the data dimension is larger than the sample size. Most…
We consider general Gaussian latent tree models in which the observed variables are not restricted to be leaves of the tree. Extending related recent work, we give a full semi-algebraic description of the set of covariance matrices of any…
We study distributed principal component analysis (PCA) in high-dimensional settings under the spiked model. In such regimes, sample eigenvectors can deviate significantly from population ones, introducing a persistent bias. Existing…
We consider high-dimensional measurement errors with high-frequency data. Our objective is on recovering the high-dimensional cross-sectional covariance matrix of the random errors with optimality. In this problem, not all components of the…
Estimation and hypothesis tests for the covariance matrix in high dimensions is a challenging problem as the traditional multivariate asymptotic theory is no longer valid. When the dimension is larger than or increasing with the sample…
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,…
We propose optimal Bayesian two-sample tests for testing equality of high-dimensional mean vectors and covariance matrices between two populations. In many applications including genomics and medical imaging, it is natural to assume that…
Using the Coulomb Fluid method, this paper derives central limit theorems (CLTs) for linear spectral statistics of three "spiked" Hermitian random matrix ensembles. These include Johnstone's spiked model (i.e., central Wishart with spiked…
We present a method to estimate non-Gaussian power spectrum covariance matrices by directly measuring the response of the small-scale power spectrum to long-wavelength perturbations via bispectrum and trispectrum estimators. Specifically,…
Invariance-based randomization tests -- such as permutation tests, rotation tests, or sign changes -- are an important and widely used class of statistical methods. They allow drawing inferences under weak assumptions on the data…
This note considers the problem of approximating the locations of dominant spikes for a probability measure from noisy spectrum measurements under the condition of residue signal, significant noise level, and no minimum spectrum separation.…
We study the problem of community detection in hypergraphs under a stochastic block model. Similarly to how the stochastic block model in graphs suggests studying spiked random matrices, our model motivates investigating statistical and…
We consider the problem of estimating a low-rank signal matrix from noisy measurements under the assumption that the distribution of the data matrix belongs to an exponential family. In this setting, we derive generalized Stein's unbiased…
This paper investigates the signal detection problem in colored noise with an unknown covariance matrix. In particular, we focus on detecting a non-random signal by capitalizing on the leading eigenvalue (a.k.a. Roy's largest root) of the…
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…