High-dimensional linear models: a random matrix perspective (Q2051014)

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English	High-dimensional linear models: a random matrix perspective	scientific article

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scholarly article

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High-dimensional linear models: a random matrix perspective (English)

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Jamshid Namdari

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Sankhyā. Series A

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publication date

1 September 2021

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zbMATH Keywords

multivariate statistics

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linear models

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random matrix theory

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describes a project that uses

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s13171-020-00219-y

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CLT for linear spectral statistics of large-dimensional sample covariance matrices.

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Spectral analysis of large dimensional random matrices

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Limiting spectral distribution of a symmetrized auto-cross covariance matrix

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On limiting spectral distribution of product of two random matrices when the underlying distribution is isotropic

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Corrections to LRT on large-dimensional covariance matrix by RMT

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ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX

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Testing linear hypotheses in high-dimensional regressions

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Limiting behavior of eigenvalues in high-dimensional MANOVA via RMT

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Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes

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On the limiting spectral distribution for a large class of symmetric random matrices with correlated entries

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Large sample behaviour of high dimensional autocovariance matrices

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Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application

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Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations

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A note on testing the covariance matrix for large dimension

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Statistics for high-dimensional data. Methods, theory and applications.

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A two-sample test for high-dimensional data with applications to gene-set testing

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A Regularized Hotelling’s<i>T</i><sup>2</sup>Test for Pathway Analysis in Proteomic Studies

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A generalization of the Lindeberg principle

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Fluctuations of eigenvalues and second order Poincaré inequalities

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A High Dimensional Two Sample Significance Test

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A Significance Test for the Separation of Two Highly Multivariate Small Samples

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Optimal equivariant prediction for high-dimensional linear models with arbitrary predictor covariance

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Flexible results for quadratic forms with applications to variance components estimation

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Distributed linear regression by averaging

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High-dimensional asymptotics of prediction: ridge regression and classification

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High dimensional robust M-estimation: asymptotic variance via approximate message passing

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Optimal shrinkage of eigenvalues in the spiked covariance model

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Spectrum estimation for large dimensional covariance matrices using random matrix theory

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On the impact of predictor geometry on the performance on high-dimensional ridge-regularized generalized robust regression estimators

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On robust regression with high-dimensional predictors

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Eigenvalue distributions of variance components estimators in high-dimensional random effects models

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Asymptotic results in canonical discriminant analysis when the dimension is large compared to the sample size

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Multivariate Statistics

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Necessary and sufficient condition that the limit of Stieltjes transforms is a Stieltjes transform

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The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile

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The Generalization of Student's Ratio

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On the Limiting Distribution of Roots of a Determinantal Equation

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Random design analysis of ridge regression

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A review of 20 years of naive tests of significance for high-dimensional mean vectors and covariance matrices

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On testing the equality of high dimensional mean vectors with unequal covariance matrices

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Robust regression: Asymptotics, conjectures and Monte Carlo

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Robust Statistics

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Testing the independence of sets of large-dimensional variables

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On high-dimensional misspecified mixed model analysis in genome-wide association study

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The distribution of a statistic used for testing sphericity of normal distributions

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On the distribution of the largest eigenvalue in principal components analysis

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Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence

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Roy’s largest root test under rank-one alternatives

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Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA

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Non-Parametric Detection of the Number of Signals: Hypothesis Testing and Random Matrix Theory

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Nonlinear shrinkage estimation of large-dimensional covariance matrices

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Spectrum estimation: a unified framework for covariance matrix estimation and PCA in large dimensions

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Asymptotics for high dimensional regression \(M\)-estimates: fixed design results

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Two sample tests for high-dimensional covariance matrices

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On two simple and effective procedures for high dimensional classification of general populations

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An adaptable generalization of Hotelling's $T^2$ test in high dimension

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High-dimensional general linear hypothesis tests via non-linear spectral shrinkage

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On the Marčenko-Pastur law for linear time series

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Central limit theorem for linear eigenvalue statistics of the Wigner and the sample covariance random matrices

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DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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On the empirical spectral distribution for matrices with long memory and independent rows

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Proximité et dualité dans un espace hilbertien

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Lectures on the Combinatorics of Free Probability

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Asymptotic power of sphericity tests for high-dimensional data

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Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension

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Random matrix theory in statistics: a review

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Eigenvalue distribution of large sample covariance matrices of linear processes

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Limiting spectral distribution of a new random matrix model with dependence across rows and columns

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Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation

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TESTS OF SIGNIFICANCE IN MULTIVARIATE ANALYSIS

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Estimation and tests of significance in factor analysis

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SOME PROBLEMS INVOLVING LINEAR HYPOTHESES IN MULTIVARIATE ANALYSIS

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Estimation of Variance and Covariance Components in Linear Models

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Estimation of parameters in a linear model

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Asymptotic expansion of the misclassification probabilities of D- and A- criteria for discrimination from two high dimensional populations using the theory of large dimensional random matrices

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On the empirical distribution of eigenvalues of a class of large dimensional random matrices

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Analysis of the limiting spectral distribution of large dimensional random matrices

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A test for the mean vector with fewer observations than the dimension

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Multivariate analysis of variance with fewer observations than the dimension

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Tests for multivariate analysis of variance in high dimension under non-normality

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Asymptotic expansions of the distributions of the latent roots and the latent vector of the Wishart and multivariate F matrices

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Level-spacing distributions and the Airy kernel

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Fredholm determinants, differential equations and matrix models

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Regularised Manova for High-Dimensional Data

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High-Dimensional Statistics

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On the sphericity test with large-dimensional observations

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On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

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Spectral analysis of sample autocovariance matrices of a class of linear time series in moderately high dimensions

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On the relation between orthogonal, symplectic and unitary matrix ensembles

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On the distribution of the roots of certain symmetric matrices

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Nonlinear system theory: Another look at dependence

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Asymptotic theory for stationary processes

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A note on a Marčenko-Pastur type theorem for time series

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Large Sample Covariance Matrices and High-Dimensional Data Analysis

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Limit Theorem for the Eigenvalues of the Sample Covariance Matrix when the Underlying Distribution is Isotropic

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Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices

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Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing

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Identifiers

zbMATH Open document ID

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10.1007/s13171-020-00219-y

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2051014

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