Detection of Signal in the Spiked Rectangular Models

Authors Ji Hyung Jung, Hyewon Chung, Ji Oon Lee

Publication date 27 April 2021

Random matrices (probabilistic aspects) (60B20) Hypothesis testing in multivariate analysis (62H15) Factor analysis and principal components; correspondence analysis (62H25)

Abstract: We consider the problem of detecting signals in the rank-one signal-plus-noise data matrix models that generalize the spiked Wishart matrices. We show that the principal component analysis can be improved by pre-transforming the matrix entries if the noise is non-Gaussian. As an intermediate step, we prove a sharp phase transition of the largest eigenvalues of spiked rectangular matrices, which extends the Baik-Ben Arous-P'ech'e (BBP) transition. We also propose a hypothesis test to detect the presence of signal with low computational complexity, based on the linear spectral statistics, which minimizes the sum of the Type-I and Type-II errors when the noise is Gaussian.

This page was built for publication: Detection of Signal in the Spiked Rectangular Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6366311)