Dimension estimation in a spiked covariance model using high-dimensional data augmentation

DOI10.1093/BIOMET/ASAF052MaRDI QIDQ6871648zbMATH OpenFDO

Authors Una Radojičić, Joni Virta

Publication date 20 January 2026

Published in Biometrika (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/BIOMET/ASAF052

zbMATH Keywords

covariance matrixaugmentationorder determinationlow-rank model

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix
• Asymptotic and bootstrap tests for subspace dimension
• Combining eigenvalues and variation of eigenvectors for order determination
• Fundamental limits of detection in the spiked Wigner model
• High dimensional covariance matrix estimation using a factor model
• Large sample covariance matrices and high-dimensional data analysis
• On consistency and sparsity for principal components analysis in high dimensions
• On order determination by predictor augmentation
• On the principal components of sample covariance matrices
• Power enhancement for dimension detection of Gaussian signals
• Statistical thresholds for tensor PCA

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