相关论文: Statistical eigen-inference from large Wishart mat…

For complex latent variable models, the likelihood function is not available in closed form. In this context, a popular method to perform parameter estimation is Importance Weighted Variational Inference. It essentially maximizes the…

We introduce an estimation method of covariance matrices in a high-dimensional setting, i.e., when the dimension of the matrix, , is larger than the sample size . Specifically, we propose an orthogonally equivariant estimator. The…

Let $M_n$ be a $n \times n$ Wigner or sample covariance random matrix, and let $\mu_1(M_n), \mu_2(M_n), ..., \mu_n(M_n)$ denote the unordered eigenvalues of $M_n$. We study the fluctuations of the partial linear eigenvalue statistics $$…

This article studies the limiting behavior of a class of robust population covariance matrix estimators, originally due to Maronna in 1976, in the regime where both the number of available samples and the population size grow large. Using…

Consider the sample covariance matrix $$\Sigma^{1/2}XX^T\Sigma^{1/2}$$ where $X$ is an $M\times N$ random matrix with independent entries and $\Sigma$ is an $M\times M$ diagonal matrix. It is known that if $\Sigma$ is deterministic, then…

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…

A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties. Most importantly, it is independent of the underlying…

Using the replica method, we compute the statistics of the top eigenpair of diluted covariance matrices of the form $\mathbf{J} = \mathbf{X}^T \mathbf{X}$, where $\mathbf{X}$ is a $N\times M$ sparse data matrix, in the limit of large $N,M$…

This paper examines the foundational concept of random variables in probability theory and statistical inference, demonstrating that their mathematical definition requires no reference to randomization or hypothetical repeated sampling. We…

Random matrix theory has become a cornerstone in modern statistics and data science, providing fundamental tools for understanding high-dimensional covariance structures. Within this framework, the Wishart matrix plays a central role in…

We propose a data-driven way to reduce the noise of covariance matrices of nonstationary systems. In the case of stationary systems, asymptotic approaches were proved to converge to the optimal solutions. Such methods produce eigenvalues…

We derive the distribution of the eigenvalues of a large sample covariance matrix when the data is dependent in time. More precisely, the dependence for each variable $i=1,...,p$ is modelled as a linear process…

We present a mathematically justifiable, computationally simple, sample eigenvalue based procedure for estimating the number of high-dimensional signals in white noise using relatively few samples. The main motivation for considering a…

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…

In many experiments in the life sciences, several endpoints are recorded per subject. The analysis of such multivariate data is usually based on MANOVA models assuming multivariate normality and covariance homogeneity. These assumptions,…

We develop a new sampling method to estimate eigenvector centrality on incomplete networks. Our goal is to estimate this global centrality measure having at disposal a limited amount of data. This is the case in many real-world scenarios…

Random Fisher matrices arise naturally in multivariate statistical analysis and understanding the properties of its eigenvalues is of primary importance for many hypothesis testing problems like testing the equality between two multivariate…

This paper investigates limiting properties of eigenvalues of multivariate sample spatial-sign covariance matrices when both the number of variables and the sample size grow to infinity. The underlying p-variate populations are general…

The present work provides an original framework for random matrix analysis based on revisiting the concentration of measure theory from a probabilistic point of view. By providing various notions of vector concentration ($q$-exponential,…

Monte Carlo methods to evaluate and maximize the likelihood function enable the construction of confidence intervals and hypothesis tests, facilitating scientific investigation using models for which the likelihood function is intractable.…