Identifiability of parametric random matrix models

DOI10.1142/S0219025719500188MaRDI QIDQ4960406zbMATH OpenOpenAlexWikidataFDO

Authors Tomohiro Hayase

Publication date 15 April 2020

Published in Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.10678

zbMATH Keywords

free probability theoryidentifiabilityrandom matrix theorystatistical models

Mathematics Subject Classification ID

Free probability and free operator algebras (46L54) Random matrices (probabilistic aspects) (60B20) Asymptotic distribution theory in statistics (62E20)

Abstract: We investigate parameter identifiability of spectral distributions of random matrices. In particular, we treat compound Wishart type and signal-plus-noise type. We show that each model is identifiable up to some kind of rotation of parameter space. Our method is based on free probability theory.

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Cited in

(3)

• Identifiability and persistent excitation in full matrix fraction parameter estimation
• Random models of idempotent linear Maltsev conditions. I. Idemprimality
• Identifying a model from data using Beltrami's matrix decomposition

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