On the distribution of the largest eigenvalue in principal components analysis

From MaRDI portal

Publication:1848863

Jump to:navigation, search

DOI10.1214/aos/1009210544zbMath1016.62078OpenAlexW1520752838MaRDI QIDQ1848863

Iain M. Johnstone

Publication date: 14 November 2002

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1009210544

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Factor analysis and principal components; correspondence analysis (62H25) Central limit and other weak theorems (60F05) Orthogonal polynomials and functions of hypergeometric type (Jacobi, Laguerre, Hermite, Askey scheme, etc.) (33C45) Random matrices (algebraic aspects) (15B52) Painlevé-type functions (33E17)

Related Items

Supervised singular value decomposition and its asymptotic properties, Principal components in linear mixed models with general bulk, On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices, Central limit theorem for linear spectral statistics of general separable sample covariance matrices with applications, Goodness-of-fit test for latent block models, Bayesian regularization of Gaussian graphical models with measurement error, Some new results on the eigenvalues of complex non-central Wishart matrices with a rank-1 mean, High-dimensional analysis of semidefinite relaxations for sparse principal components, Adaptive shrinkage of singular values, The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble, High dimensional covariance matrix estimation using a factor model, Kernel spectral clustering of large dimensional data, Gaussian fluctuations for linear spectral statistics of large random covariance matrices, On the scaling limits of determinantal point processes with kernels induced by Sturm-Liouville operators, The Tracy-Widom law for the largest eigenvalue of F type matrices, Discriminant analysis on high dimensional Gaussian copula model, Moderate deviation principles for eigenvalues of \(\beta\)-Hermite and \(\beta\)-Laguerre ensembles with \(\beta \to \infty\), Limits of spiked random matrices. II, The spectrum of kernel random matrices, Tests for large-dimensional covariance structure based on Rao's score test, The role of the isotonizing algorithm in Stein's covariance matrix estimator, Regularized LRT for large scale covariance matrices: one sample problem, Estimation of high-dimensional prior and posterior covariance matrices in Kalman filter vari\-ants, Sparse principal component analysis and iterative thresholding, Limits of spiked random matrices. I, Asymptotic power of sphericity tests for high-dimensional data, On the sphericity test with large-dimensional observations, A rate of convergence result for the largest eigenvalue of complex white Wishart matrices, VC dimensions of principal component analysis, Additive/multiplicative free subordination property and limiting eigenvectors of spiked additive deformations of Wigner matrices and spiked sample covariance matrices, On information plus noise kernel random matrices, Regularization in statistics, Optimal detection of sparse principal components in high dimension, Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions, Target detection and characterization from electromagnetic induction data, The holonomic gradient method for the distribution function of the largest root of a Wishart matrix, Correlation tests for high-dimensional data using extended cross-data-matrix methodology, Reconstruction of a low-rank matrix in the presence of Gaussian noise, PCA consistency for the power spiked model in high-dimensional settings, Statistical inference for functional relationship between the specified and the remainder populations, Estimation of the population spectral distribution from a large dimensional sample covariance matrix, Minimax estimation in sparse canonical correlation analysis, High-dimensional covariance matrix estimation with missing observations, PCA and eigen-inference for a spiked covariance model with largest eigenvalues of same asymptotic order, Learning a factor model via regularized PCA, On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix, High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation, Convergence and prediction of principal component scores in high-dimensional settings, Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix, Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices, Approximation of rectangular beta-Laguerre ensembles and large deviations, Anisotropic diffusion on sub-manifolds with application to Earth structure classification, On the border of extreme and mild spiked models in the HDLSS framework, Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance, High dimensional posterior convergence rates for decomposable graphical models, Statistical distribution of quantum entanglement for a random bipartite state, On a model selection problem from high-dimensional sample covariance matrices, Boundary behavior in high dimension, low sample size asymptotics of PCA, Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices, Pattern recognition based on canonical correlations in a high dimension low sample size context, Noisy matrix decomposition via convex relaxation: optimal rates in high dimensions, Eigenvectors of some large sample covariance matrix ensembles, Covariance estimation: the GLM and regularization perspectives, Covariance matrix estimation for stationary time series, Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension, Batch latency analysis and phase transitions for a tandem of queues with exponentially distributed service times, Detection, reconstruction, and characterization algorithms from noisy data in multistatic wave imaging, A note on biorthogonal ensembles, Random tensor theory: Extending random matrix theory to mixtures of random product states, Extremal theory for spectrum of random discrete Schrödinger operator. I: Asymptotic expansion formulas, On estimation in the reduced-rank regression with a large number of responses and predictors, Asymptotic results in canonical discriminant analysis when the dimension is large compared to the sample size, Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series, High-dimensional rank tests for sphericity, Cleaning large correlation matrices: tools from random matrix theory, Spectral radii of large non-Hermitian random matrices, Considering Horn's parallel analysis from a random matrix theory point of view, Exact distributional computations for Roy's statistic and the largest eigenvalue of a Wishart distribution, Test for bandedness of high-dimensional covariance matrices and bandwidth estimation, Edge universality of correlation matrices, Estimation of (near) low-rank matrices with noise and high-dimensional scaling, Optimal covariance change point localization in high dimensions, Partial estimation of covariance matrices, Estimating sufficient reductions of the predictors in abundant high-dimensional regressions, Confidence intervals for high-dimensional inverse covariance estimation, Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges, Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model, Central limit theorems for eigenvalues in a spiked population model, Latent variable graphical model selection via convex optimization, Exact and asymptotic tests on a factor model in low and large dimensions with applications, Two sample tests for high-dimensional covariance matrices, A distance-based, misclassification rate adjusted classifier for multiclass, high-dimensional data, Sampled forms of functional PCA in reproducing kernel Hilbert spaces, Bi-cross-validation of the SVD and the nonnegative matrix factorization, Local expectations of the population spectral distribution of a high-dimensional covariance matrix, A robust test for sphericity of high-dimensional covariance matrices, Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations, On sample eigenvalues in a generalized spiked population model, Higher criticism for large-scale inference, especially for rare and weak effects, On the condition number of the critically-scaled Laguerre unitary ensemble, Painlevé equations -- nonlinear special functions., On a spiked model for large volatility matrix estimation from noisy high-frequency data, The asymptotic distributions of the largest entries of sample correlation matrices., Concentration of norms and eigenvalues of random matrices, Asymptotics for high dimensional regression \(M\)-estimates: fixed design results, Analysis of dynamic correlation of Japanese stock returns with network clustering, Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices, High dimensional random walks can appear low dimensional: application to influenza H3N2 evolution, Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis, Recent developments in high dimensional covariance estimation and its related issues, a review, High dimensional covariance matrix estimation by penalizing the matrix-logarithm transformed likelihood, Testing the order of a population spectral distribution for high-dimensional data, Robust estimation of precision matrices under cellwise contamination, Asymptotic performance of PCA for high-dimensional heteroscedastic data, A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices, Spectral radii of truncated circular unitary matrices, Hitting time of quantum walks with perturbation, Complex outliers of Hermitian random matrices, Multiple hypothesis testing adjusted for latent variables, with an application to the AGEMAP gene expression data, Discussion: Latent variable graphical model selection via convex optimization, Rejoinder: Latent variable graphical model selection via convex optimization, Limit theorems for longest monotone subsequences in random Mallows permutations, Non-intersecting Brownian bridges and the Laguerre orthogonal ensemble, An outer-approximation approach for information-maximizing sensor selection, Limiting distributions of spectral radii for product of matrices from the spherical ensemble, Alternation of different fluctuation regimes in the stock market dynamics, Sparse permutation invariant covariance estimation, Theoretical properties of Cook's PFC dimension reduction algorithm for linear regression, Adaptive estimation of covariance matrices via Cholesky decomposition, High-dimensional covariance estimation by minimizing \(\ell _{1}\)-penalized log-determinant divergence, \(e\)PCA: high dimensional exponential family PCA, High-dimensional covariance matrices in elliptical distributions with application to spherical test, Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case, A smooth transition from Wishart to GOE, Partial generalized four moment theorem revisited, Extremal eigenvalues of sample covariance matrices with general population, On the domain of attraction of a Tracy-Widom law with applications to testing multiple largest roots, Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix, Optimal estimation of a large-dimensional covariance matrix under Stein's loss, Testing independence with high-dimensional correlated samples, Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model, High-dimensional asymptotic expansions for the distributions of canonical correlations, Projection tests for high-dimensional spiked covariance matrices, Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues, Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications, Approximate null distribution of the largest root in multivariate analysis, Correlations for superpositions and decimations of Laguerre and Jacobi orthogonal matrix ensembles with a parameter, Roy's largest root under rank-one perturbations: the complex valued case and applications, Likelihood ratio test for partial sphericity in high and ultra-high dimensions, Distribution of the largest eigenvalue for real Wishart and Gaussian random matrices and a simple approximation for the Tracy-Widom distribution, A spectral graph approach to discovering genetic ancestry, On testing for sphericity with non-normality in a fixed effects panel data model, False alarm rate estimation for information-theoretic-based source enumeration methods, Generalized Schott type tests for complete independence in high dimensions, A universality result for the smallest eigenvalues of certain sample covariance matrices, Random matrices: The distribution of the smallest singular values, Testing conditional independence using maximal nonlinear conditional correlation, Optimal rates of convergence for covariance matrix estimation, Sphericity and identity test for high-dimensional covariance matrix using random matrix theory, Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix, Free energy of bipartite spherical Sherrington-Kirkpatrick model, Limiting empirical spectral distribution for products of rectangular matrices, Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes, Covariance regularization by thresholding, Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence, Spectrum estimation for large dimensional covariance matrices using random matrix theory, Finite sample approximation results for principal component analysis: A matrix perturbation approach, Statistical eigen-inference from large Wishart matrices, Subspace estimation from unbalanced and incomplete data matrices: \({\ell_{2,\infty}}\) statistical guarantees, Spiked separable covariance matrices and principal components, CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series, Optimality and sub-optimality of PCA. I: Spiked random matrix models, Universality of approximate message passing algorithms, Asymptotic expansions of test statistics for dimensionality and additional information in canonical correlation analysis when the dimension is large, The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations, High-dimensional linear models: a random matrix perspective, High-dimensional sphericity test by extended likelihood ratio, Universality results for the largest eigenvalues of some sample covariance matrix ensembles, Approximation of Haar distributed matrices and limiting distributions of eigenvalues of Jacobi ensembles, Asymptotic analysis for extreme eigenvalues of principal minors of random matrices, Random matrix theory and its applications, Data driven orthogonal basis selection for functional data analysis, Consistently recovering the signal from noisy functional data, High-dimensional asymptotic expansion of LR statistic for testing intraclass correlation structure and its error bound, PCA consistency in high dimension, low sample size context, Large sample correlation matrices: a comparison theorem and its applications, Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors, Tracy-Widom at each edge of real covariance and MANOVA estimators, Scaled limit and rate of convergence for the largest eigenvalue from the generalized Cauchy random matrix ensemble, Singular value decomposition of large random matrices (for two-way classification of microarrays), Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond, Optimal signal detection in some spiked random matrix models: likelihood ratio tests and linear spectral statistics, Precise statistical analysis of classification accuracies for adversarial training, Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices, An \({\ell_p}\) theory of PCA and spectral clustering, Consistency of invariance-based randomization tests, Identifying complexity by means of matrices, Applications on linear spectral statistics of high-dimensional sample covariance matrix with divergent spectrum, On the eigenvectors of large-dimensional sample spatial sign covariance matrices, CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures, Heteroskedastic PCA: algorithm, optimality, and applications, Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case, Kronecker delta method for testing independence between two vectors in high-dimension, Robust low-rank data matrix approximations, SURE-tuned tapering estimation of large covariance matrices, Statistical inference for principal components of spiked covariance matrices, Testing for covariance matrices in time-varying coefficient panel data models with fixed effects, Detection of hubs in complex networks by the Laplacian matrix, Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices, Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications, Spectral statistics of high dimensional sample covariance matrix with unbounded population spectral norm, Perturbation theory for cross data matrix-based PCA, Targeted principal components regression, The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization, Vast volatility matrix estimation for high-frequency financial data, Large deviations for weighted empirical mean with outliers, Cointegration in large VARs, Principal components selection given extensively many variables, Variance variation criterion and consistency in estimating the number of significant signals of high-dimensional PCA, Strong replica symmetry in high-dimensional optimal Bayesian inference, Moderate deviation principles for classical likelihood ratio tests of high-dimensional normal distributions, Multiscale geometric methods for data sets. I: Multiscale SVD, noise and curvature., Empirical distribution of scaled eigenvalues for product of matrices from the spherical ensemble, Efficient estimation of linear functionals of principal components, Optimal prediction in the linearly transformed spiked model, Dimensionality determination: a thresholding double ridge ratio approach, Truncated linear statistics associated with the top eigenvalues of random matrices, Statistical limits of spiked tensor models, On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence, Optimal shrinkage of eigenvalues in the spiked covariance model, D-trace estimation of a precision matrix using adaptive lasso penalties, High-dimensional testing for proportional covariance matrices, Hypothesis tests for principal component analysis when variables are standardized, Consistent estimation of high-dimensional factor models when the factor number is over-estimated, Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices, Fundamental limits of detection in the spiked Wigner model, Convergence of eigenvector empirical spectral distribution of sample covariance matrices, Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices, Exact minimum eigenvalue distribution of an entangled random pure state, The noise-sensitivity phase transition in spectral group synchronization over compact groups, Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions, Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails, Optimal hypothesis testing for high dimensional covariance matrices, On the maximal domain of attraction of Tracy-Widom distribution for Gaussian unitary ensembles, Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix, Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix, High-dimensional influence measure, Calculation and properties of zonal polynomials, Spectral radii of products of random rectangular matrices, Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices, Minimax estimation of large precision matrices with bandable Cholesky factor, Permutation methods for factor analysis and PCA, Linear statistics of random matrix ensembles at the spectrum edge associated with the Airy kernel, Rapid evaluation of the spectral signal detection threshold and Stieltjes transform, Shrinkage estimation of large covariance matrices: keep it simple, statistician?, Large sample autocovariance matrices of linear processes with heavy tails, Point process convergence for the off-diagonal entries of sample covariance matrices, Phase transition in random tensors with multiple independent spikes, The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications, Shrinkage priors for single-spiked covariance models, A note on identifiability conditions in confirmatory factor analysis, Unsupervised streaming anomaly detection for instrumented infrastructure, Local mutual information for dissimilarity-based image segmentation, High-dimensional mean estimation via \(\ell_1\) penalized normal likelihood, A note on the CLT of the LSS for sample covariance matrix from a spiked population model, Functional CLT of eigenvectors for large sample covariance matrices, Treelets -- an adaptive multi-scale basis for sparse unordered data, Edge universality of separable covariance matrices, Distributed estimation of principal eigenspaces, Hypothesis testing on linear structures of high-dimensional covariance matrix, Tracy-Widom limit for Kendall's tau, Estimation of linear projections of non-sparse coefficients in high-dimensional regression, Local law and Tracy-Widom limit for sparse sample covariance matrices, Random orthogonal matrices and the Cayley transform, Compressed covariance estimation with automated dimension learning, Modified Pillai's trace statistics for two high-dimensional sample covariance matrices, Random matrix theory for heavy-tailed time series, A practical approach to adjusting for population stratification in genome-wide association studies: principal components and propensity scores (PCAPS), The two-to-infinity norm and singular subspace geometry with applications to high-dimensional statistics, Eigenvalue distributions of variance components estimators in high-dimensional random effects models, Testing for independence of large dimensional vectors, A diagnostic criterion for approximate factor structure, Ergodic decomposition for inverse Wishart measures on infinite positive-definite matrices, ROP: matrix recovery via rank-one projections, Universality for the largest eigenvalue of sample covariance matrices with general population, A note on the limiting spectral distribution of a symmetrized auto-cross covariance matrix, The wasteland of random supergravities, Optimal estimation and rank detection for sparse spiked covariance matrices, High-dimensional correlation matrix estimation for general continuous data with Bagging technique, Data enriched linear regression, On the sample covariance matrix estimator of reduced effective rank population matrices, with applications to fPCA, Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices, High-dimensional tests for spherical location and spiked covariance, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models, Moderate deviation principle for likelihood ratio test in multivariate linear regression model, Relative perturbation bounds with applications to empirical covariance operators, Limiting distributions for eigenvalues of sample correlation matrices from heavy-tailed populations, Testing for the rank of a covariance operator, On generalized expectation-based estimation of a population spectral distribution from high-dimensional data, Do semidefinite relaxations solve sparse PCA up to the information limit?, Cholesky-based model averaging for covariance matrix estimation, Factor analysis of correlation matrices when the number of random variables exceeds the sample size, Wald Statistics in high-dimensional PCA, Free energy fluctuations of the two-spin spherical SK model at critical temperature, Hermitian and non-Hermitian perturbations of chiral Gaussian β-ensembles, A Cholesky-based estimation for large-dimensional covariance matrices, Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes, Biwhitening Reveals the Rank of a Count Matrix, Randomized numerical linear algebra: Foundations and algorithms, Exploring dimension learning via a penalized probabilistic principal component analysis, Inference from heteroscedastic functional data, Large deviations for spectral measures of some spiked matrices, Cross-Validated Loss-based Covariance Matrix Estimator Selection in High Dimensions, Uniform approximation of eigenvalues in Laguerre and Hermite 𝛽-ensembles by roots of orthogonal polynomials, A UNIFORM BOUND ON THE OPERATOR NORM OF SUB-GAUSSIAN RANDOM MATRICES AND ITS APPLICATIONS, Unnamed Item, Unnamed Item, Geometric Representation of High Dimension, Low Sample Size Data, Gaussian determinantal processes: A new model for directionality in data, Rates of convergence in conditional covariance matrix with nonparametric entries estimation, Order Determination for Spiked Type Models, Principal Eigenportfolios for U.S. Equities, Joint CLT for top eigenvalues of sample covariance matrices of separable high dimensional long memory processes, Free energy subadditivity for symmetric random Hamiltonians, \textit{ScreeNOT}: exact MSE-optimal singular value thresholding in correlated noise, Asymptotic behavior of the distributions of eigenvalues for beta-Wishart ensemble under the dispersed population eigenvalues, Reducing subspace models for large‐scale covariance regression, On variable ordination of Cholesky‐based estimation for a sparse covariance matrix, Large-dimensional random matrix theory and its applications in deep learning and wireless communications, High-dimensional regimes of non-stationary Gaussian correlated Wishart matrices, A new approach for ultrahigh-dimensional covariance matrix estimation, Adaptive Tests for Bandedness of High-dimensional Covariance Matrices, A Universal Test on Spikes in a High-Dimensional Generalized Spiked Model and Its Applications, An RIHT statistic for testing the equality of several high-dimensional mean vectors under homoskedasticity, Free Energy Wells and Overlap Gap Property in Sparse PCA, The oriented swap process and last passage percolation, Robust PCA for high‐dimensional data based on characteristic transformation, The moderate deviation principles of likelihood ratio tests under alternative hypothesis, An Eigenvalue Ratio Approach to Inferring Population Structure from Whole Genome Sequencing Data, Extreme eigenvalues of principal minors of random matrices with moment conditions, On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence, CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET, Moderate deviations for extreme eigenvalues of beta-Laguerre ensembles, Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations, Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices, Behavior of Some Hypothesis Tests for the Covariance Matrix of High Dimensional Data, Estimation of the Number of Spiked Eigenvalues in a Covariance Matrix by Bulk Eigenvalue Matching Analysis, Fluctuations of the diagonal entries of a large sample precision matrix, Linear Hypothesis Testing in Linear Models With High-Dimensional Responses, Distributed Estimation for Principal Component Analysis: An Enlarged Eigenspace Analysis, Inference on the maximal rank of time-varying covariance matrices using high-frequency data, On large market asymptotics for spatial price competition models, The Wishart distribution on symmetric cones, On the distribution of an arbitrary subset of the eigenvalues for some finite dimensional random matrices, Bayesian sparse spiked covariance model with a continuous matrix shrinkage prior, Unnamed Item, Unnamed Item, Unnamed Item, Tracy-Widom law for the extreme eigenvalues of large signal-plus-noise matrices, Contiguity under high-dimensional Gaussianity with applications to covariance testing, Sparse principal component analysis for high‐dimensional stationary time series, Covariance Estimation for Matrix-valued Data, STATISTICAL INFERENCE WITH F-STATISTICS WHEN FITTING SIMPLE MODELS TO HIGH-DIMENSIONAL DATA, Testing covariance structure of large-dimensional data based on Wald’s score test, Discriminant analysis in small and large dimensions, Unnamed Item, A Model-free Variable Screening Method Based on Leverage Score, The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data, Matrix Denoising for Weighted Loss Functions and Heterogeneous Signals, DETECTION OF WEAK SIGNALS IN HIGH-DIMENSIONAL COMPLEX-VALUED DATA, Large Covariance Estimation by Thresholding Principal Orthogonal Complements, Statistical and Knowledge Supported Visualization of Multivariate Data, Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series, Singular vector distribution of sample covariance matrices, On empirical distribution function of high-dimensional Gaussian vector components with an application to multiple testing, Projected principal component analysis in factor models, Estimating structured high-dimensional covariance and precision matrices: optimal rates and adaptive estimation, Tuning-parameter selection in regularized estimations of large covariance matrices, Principal Component Analysis of High-Frequency Data, Graph-Guided Banding of the Covariance Matrix, On limiting spectral distribution of large sample covariance matrices by VARMA(p,q), A Geometric Perspective on the Power of Principal Component Association Tests in Multiple Phenotype Studies, Bayesian Regularization for Graphical Models With Unequal Shrinkage, Subsampling Algorithms for Semidefinite Programming, A semiparametric graphical modelling approach for large-scale equity selection, Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models, Discussion: Latent variable graphical model selection via convex optimization, Discussion: Latent variable graphical model selection via convex optimization, Discussion: Latent variable graphical model selection via convex optimization, Discussion: Latent variable graphical model selection via convex optimization, Discussion: Latent variable graphical model selection via convex optimization, Unnamed Item, Approximation of the power functions of Roy’s largest root test under general spiked alternatives, Spiked sample covariance matrices with possibly multiple bulk components, Large dimensional analysis of general margin based classification methods, Asymptotic power of the sphericity test under weak and strong factors in a fixed effects panel data model, Linear differential equations for the resolvents of the classical matrix ensembles, The conjugate gradient algorithm on a general class of spiked covariance matrices, Recursion scheme for the largest $\beta$ -Wishart–Laguerre eigenvalue and Landauer conductance in quantum transport, Large deviations of extremal eigenvalues of sample covariance matrices, Fast randomized numerical rank estimation for numerically low-rank matrices, On randomized sketching algorithms and the Tracy-Widom law, Euclidean Representation of Low-Rank Matrices and Its Geometric Properties, On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices, Order determination for spiked-type models with a divergent number of spikes, Spiked multiplicative random matrices and principal components, Local convexity of the TAP free energy and AMP convergence for \(\mathbb{Z}_2\)-synchronization, Long random matrices and tensor unfolding, High‐dimensional limit theorems for SGD: Effective dynamics and critical scaling, Learning low-dimensional nonlinear structures from high-dimensional noisy data: an integral operator approach, A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes, A Pairwise Hotelling Method for Testing High-Dimensional Mean Vectors, The decimation scheme for symmetric matrix factorization, Finite rank perturbations of heavy-tailed Wigner matrices, Extreme points of the Vandermonde determinant and Wishart ensemble on symmetric cones, ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS, Application of the τ‐function theory of Painlevé equations to random matrices: P_V, P_III, the LUE, JUE, and CUE, ON DETERMINING THE NUMBER OF SPIKES IN A HIGH-DIMENSIONAL SPIKED POPULATION MODEL, Rank 1 real Wishart spiked model, Beta ensembles, stochastic Airy spectrum, and a diffusion, Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture, On the principal components of sample covariance matrices, Convergence of Sample Eigenvectors of Spiked Population Model, An exact test about the covariance matrix, Structured Sparsity: Discrete and Convex Approaches, From random matrices to stochastic operators, THE ABSOLUTE POSITIVE PARTIAL TRANSPOSE PROPERTY FOR RANDOM INDUCED STATES, Functional form for the leading correction to the distribution of the largest eigenvalue in the GUE and LUE, Asymptotically independent U-statistics in high-dimensional testing, Estimation of low-rank matrices via approximate message passing, Asymmetry helps: eigenvalue and eigenvector analyses of asymmetrically perturbed low-rank matrices, Testing high dimensional covariance matrices via posterior Bayes factor, Statistical inference for high-dimension, low-sample-size data, Mesoscopic perturbations of large random matrices, Statistical thresholds for tensor PCA, Matrix models for beta ensembles, The Impact of Measurement Error on Principal Component Analysis, Asymptotically efficient estimation of smooth functionals of covariance operators, Multidimensional scaling of noisy high dimensional data, Limiting spectral radii of circular unitary matrices under light truncation, Optimal singular value shrinkage for operator norm loss: extending to non-square matrices, RDS free CLT for spiked eigenvalues of high-dimensional covariance matrices, Estimation of Wasserstein distances in the spiked transport model, Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions, Spectral analysis of the Gram matrix of mixture models, Universality for Eigenvalue Algorithms on Sample Covariance Matrices, The difference between two random mixed quantum states: exact and asymptotic spectral analysis, Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices, On the eigenstructure of covariance matrices with divergent spikes, Robust estimation of a high-dimensional integrated covariance matrix, Covariance and precision matrix estimation for high-dimensional time series, Sparse PCA: optimal rates and adaptive estimation, A necessary and sufficient condition for edge universality of Wigner matrices, Estimation of the number of spikes, possibly equal, in the high-dimensional case, Asymptotic theory for maximum deviations of sample covariance matrix estimates, Signal detection in high dimension: the multispiked case, Comparison between two types of large sample covariance matrices, Hypothesis testing for high-dimensional covariance matrices, Random matrix theory in statistics: a review, Asymptotic power of likelihood ratio tests for high dimensional data, Universality of covariance matrices, Limiting spectral distribution of a symmetrized auto-cross covariance matrix, On superconvergence of sums of free random variables, A test of sphericity for high-dimensional data and its application for detection of divergently spiked noise, Top eigenvalue of a random matrix: large deviations and third order phase transition, On the concentration of large deviations for fat tailed distributions, with application to financial data, Statistics of the maximal distance and momentum in a trapped Fermi gas at low temperature, Tail sums of Wishart and Gaussian eigenvalues beyond the bulk edge, Variable Selection in Canonical Discriminant Analysis for Family Studies, Positive-Definite ℓ₁-Penalized Estimation of Large Covariance Matrices, Testing for sphericity in a fixed effects panel data model, Can we trust the bootstrap in high-dimension?, Regularized estimation of large covariance matrices, On the largest singular values of random matrices with independent Cauchy entries, ON FINITE RANK DEFORMATIONS OF WIGNER MATRICES II: DELOCALIZED PERTURBATIONS, Two-Step Hypothesis Testing When the Number of Variables Exceeds the Sample Size, Sparse estimation of large covariance matrices via a nested Lasso penalty, Distribution of eigenvalues and eigenvectors of Wishart matrix when the population eigenvalues are infinitely dispersed and its application to minimax estimation of covariance matrix, Intrinsic Dimensionality Estimation of High-Dimension, Low Sample Size Data withD-Asymptotics, Non-white Wishart ensembles, Some strong limit theorems for the largest entries of sample correlation matrices, Painlevé formulas of the limiting distributions for nonnull complex sample covariance matrices, Asymptotic distribution of the largest off-diagonal entry of correlation matrices, Properties of principal component methods for functional and longitudinal data analysis, A Survey on the Eigenvalues Local Behavior of Large Complex Correlated Wishart Matrices, Extreme statistics and index distribution in the classical 1dCoulomb gas, Eigenvalues of large sample covariance matrices of spiked population models, Structural Variability from Noisy Tomographic Projections, High-dimensional covariance forecasting for short intra-day horizons, Finite N corrections to the limiting distribution of the smallest eigenvalue of Wishart complex matrices, The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case, Asymptotic linear spectral statistics for spiked Hermitian random matrices, Sparse and low-rank covariance matrix estimation, Counterexamples to the maximal \(p\)-norm multiplicativity conjecture for all \(p>1\), Free probability of type B and asymptotics of finite-rank perturbations of random matrices, Asymptotic Distribution of Studentized Contribution Ratio in High-Dimensional Principal Component Analysis, Sequential subspace change point detection, Theoretical Measures of Relative Performance of Classifiers for High Dimensional Data with Small Sample Sizes, Testing Independence Among a Large Number of High-Dimensional Random Vectors, Rank tests in heteroscedastic multi-way HANOVA, PCA Consistency for Non-Gaussian Data in High Dimension, Low Sample Size Context, Testing for high-dimensional geometry in random graphs, Control of Population Stratification by Correlation-Selected Principal Components, A Well-Tempered Landscape for Non-convex Robust Subspace Recovery, Two-Stage Procedures for High-Dimensional Data, Singular value distribution of the propagation matrix in random scattering media, Exact Distribution of the Maximal Height of<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline"><mml:mi>p</mml:mi></mml:math>Vicious Walkers, Nonsparse Learning with Latent Variables, A two-way analysis of variance model with positive definite interaction for homologous factors, Deterministic Parallel Analysis: An Improved Method for Selecting Factors and Principal Components, Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices, Sure Independence Screening for Ultrahigh Dimensional Feature Space, Statistical analysis on high-dimensional spheres and shape spaces, THE SPECTRUM OF RANDOM INNER-PRODUCT KERNEL MATRICES, PROBABILITY DENSITIES AND DISTRIBUTIONS FOR SPIKED AND GENERAL VARIANCE WISHART β-ENSEMBLES

Cites Work

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:1848863&oldid=14230998"