On randomized sketching algorithms and the Tracy-Widom law

DOI10.1007/s11222-022-10148-5zbMath1512.62006arXiv2201.00450MaRDI QIDQ6163409

Sylvia Richardson, William J. Astle, Daniel Ahfock

Publication date: 9 June 2023

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2201.00450

zbMATH Keywords

sketchingrandom matrix theoryrandom projection

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (2)

Generalized linear models for massive data via doubly-sketching ⋮ Unnamed Item

Cites Work

• Unnamed Item
• Finding structure with randomness: Probabilistic algorithms for constructing approximate matrix decompositions
• Random projections for Bayesian regression
• Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
• Spectral analysis of large dimensional random matrices
• Level-spacing distributions and the Airy kernel
• Robust regression: Asymptotics, conjectures and Monte Carlo
• On the distribution of the largest eigenvalue in principal components analysis
• Subsampling MCMC -- an introduction for the survey statistician
• Universality for the largest eigenvalue of sample covariance matrices with general population
• Iterative Hessian sketch: Fast and accurate solution approximation for constrained least-squares
• LSRN: A Parallel Iterative Solver for Strongly Over- or Underdetermined Systems
• Computational Advertising: Techniques for Targeting Relevant Ads
• IMPROVED ANALYSIS OF THE SUBSAMPLED RANDOMIZED HADAMARD TRANSFORM
• Randomized Algorithms for Matrices and Data
• Low-Rank Approximation and Regression in Input Sparsity Time
• Sampling algorithms for l₂ regression and applications
• Eigenvalues and Condition Numbers of Random Matrices
• Asymptotic Statistics
• ARPACK Users' Guide
• Statistical properties of sketching algorithms
• The Fast Johnson–Lindenstrauss Transform and Approximate Nearest Neighbors
• The Johnson-Lindenstrauss Transform: An Empirical Study
• On the Probability That All Eigenvalues of Gaussian, Wishart, and Double Wishart Random Matrices Lie Within an Interval
• Low-distortion subspace embeddings in input-sparsity time and applications to robust linear regression

This page was built for publication: On randomized sketching algorithms and the Tracy-Widom law