MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures

DOI10.1016/J.CSDA.2019.06.011MaRDI QIDQ2007993zbMATH OpenOpenAlexFDO

Authors Lucilio Cordero-Grande

Publication date 22 November 2019

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1812.05575

zbMATH Keywords

random matrix theorynumerical solutionsasymptotic eigenvalue distributionlarge-dimensional statisticsgeneralized Marčenko-Pastur equations

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Computational methods for problems pertaining to statistics (62-08) Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20)

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• On Fast Computation of the Non-Parametric Maximum Likelihood Estimate of a Mixing Distribution
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Cites work

• A Deterministic Equivalent for the Analysis of Correlated MIMO Multiple Access Channels
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Analytic subordination theory of operator-valued free additive convolution and the solution of a general random matrix problem
• Cleaning large correlation matrices: tools from random matrix theory
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Damped Anderson Acceleration With Restarts and Monotonicity Control for Accelerating EM and EM-like Algorithms
• Deterministic parallel analysis: an improved method for selecting factors and principal components
• Efficient computation of limit spectra of sample covariance matrices
• Free Deterministic Equivalents for the Analysis of MIMO Multiple Access Channel
• Iterative Procedures for Nonlinear Integral Equations
• Iterative residual-based vector methods to accelerate fixed point iterations
• Kernel spectral clustering of large dimensional data
• Large System Analysis of Linear Precoding in Correlated MISO Broadcast Channels Under Limited Feedback
• Large sample covariance matrices and high-dimensional data analysis
• No Eigenvalues Outside the Limiting Support of Generally Correlated Gaussian Matrices
• Nonparametric estimate of spectral density functions of sample covariance matrices: a first step
• Numerical implementation of the QuEST function
• On the Capacity Achieving Covariance Matrix for Frequency Selective MIMO Channels Using the Asymptotic Approach
• On the Outage Capacity of Correlated Multiple-Path MIMO Channels
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• OptShrink: An Algorithm for Improved Low-Rank Signal Matrix Denoising by Optimal, Data-Driven Singular Value Shrinkage
• Random matrix theory in statistics: a review
• Spectral analysis of the Gram matrix of mixture models
• The polynomial method for random matrices

Cited in

(2)

• Rapid evaluation of the spectral signal detection threshold and Stieltjes transform
• The Spectral Method for General Mixture Models

Describes a project that uses

Uses Software

• QuEST
• OptShrink
• RMTool
• SPECTRODE

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