Signal detection in high dimension: the multispiked case

DOI10.1214/13-AOS1181zbMath1296.62123arXiv1210.5663MaRDI QIDQ2448730

Alexei Onatski, Marcelo J. Moreira, Marc Hallin

Publication date: 5 May 2014

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5663

zbMATH Keywords

contiguityasymptotic powerpower envelopelarge dimensionalitysphericity testsspiked covariance

Mathematics Subject Classification ID

Theory of statistical experiments (62B15) Hypothesis testing in multivariate analysis (62H15) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Detection theory in information and communication theory (94A13)

Related Items (23)

Statistical inference for principal components of spiked covariance matrices ⋮ Likelihood Ratio Tests for High‐Dimensional Normal Distributions ⋮ Optimal prediction in the linearly transformed spiked model ⋮ Sequential testing for structural stability in approximate factor models ⋮ Inference on the maximal rank of time-varying covariance matrices using high-frequency data ⋮ Contiguity under high-dimensional Gaussianity with applications to covariance testing ⋮ Fundamental limits of detection in the spiked Wigner model ⋮ Testing in high-dimensional spiked models ⋮ Statistical and computational limits for sparse matrix detection ⋮ Large deviation principles induced by the Stiefel manifold, and random multidimensional projections ⋮ A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes ⋮ A study of two high-dimensional likelihood ratio tests under alternative hypotheses ⋮ Signal detection in high dimension: the multispiked case ⋮ Simple and reliable estimators of coefficients of interest in a model with high-dimensional confounding effects ⋮ High-dimensional covariance matrices in elliptical distributions with application to spherical test ⋮ Optimal two-sided tests for instrumental variables regression with heteroskedastic and autocorrelated errors ⋮ Asymptotic linear spectral statistics for spiked Hermitian random matrices ⋮ Optimality and sub-optimality of PCA. I: Spiked random matrix models ⋮ Eigenvalue distributions of variance components estimators in high-dimensional random effects models ⋮ Optimal signal detection in some spiked random matrix models: likelihood ratio tests and linear spectral statistics ⋮ Optimal estimation and rank detection for sparse spiked covariance matrices ⋮ Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model ⋮ Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models

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