Signal detection in high dimension: the multispiked case
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Publication:2448730
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
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)
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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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