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

DOI10.1016/J.CSDA.2019.06.011OpenAlexW2954942261MaRDI QIDQ2007993FDOQ2007993

Authors: Lucilio Cordero-Grande 

Publication date: 22 November 2019

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

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

Recommendations

• On Fast Computation of the Non-Parametric Maximum Likelihood Estimate of a Mixing Distribution
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• Learning Theory

zbMATH Keywords

random matrix theorynumerical solutionsasymptotic eigenvalue distribution[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=generalized+Mar%EF%BF%BD%EF%BF%BDenko-Pastur+equations&go=Go generalized Mar��enko-Pastur equations]large-dimensional statistics

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)

Cites Work

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

Cited In (2)

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

Uses Software

• SPECTRODE
• RMTool
• OptShrink
• QuEST

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