Random matrix theory in statistics: a review

DOI10.1016/J.JSPI.2013.09.005MaRDI QIDQ2453609zbMATH OpenOpenAlexFDO

Authors Debashis Paul, Alexander Aue

Publication date 10 June 2014

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://escholarship.org/uc/item/2350x9hz

zbMATH Keywords

MANOVAMarčenko-Pastur lawprincipal components analysisStieltjes transformsTracy-Widom lawWishart matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Multivariate analysis (62H99)

Recommendations

• scientific article; zbMATH DE number 5204610
• Random matrices and high-dimensional statistics: beyond covariance matrices
• Random matrix theory
• Multivariate statistics
• scientific article; zbMATH DE number 1347881

Cites work

• A central limit theorem for the determinant of a Wigner matrix
• A CLT for a band matrix model
• A CLT for information-theoretic statistics of Gram random matrices with a given variance profile
• A CLT for information-theoretic statistics of non-centered Gram random matrices
• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• A direct estimation approach to sparse linear discriminant analysis
• A Direct Formulation for Sparse PCA Using Semidefinite Programming
• A Gaussian scenario for unsupervised learning
• A generalization of the Lindeberg principle
• A limit theorem for the eigenvalues of product of two random matrices
• A limit theorem for the norm of random matrices
• A note on a Marčenko-Pastur type theorem for time series
• A note on the convergence rate of the spectral distributions of large random matrices
• A note on the largest eigenvalue of a large dimensional sample covariance matrix
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• A penalized matrix decomposition, with applications to sparse principal components and canonical correlation analysis
• A regularized Hotelling's \(T^{2}\) test for pathway analysis in proteomic studies
• A subspace estimator for fixed rank perturbations of large random matrices
• A test for the mean vector with fewer observations than the dimension
• A two-sample test for high-dimensional data with applications to gene-set testing
• A universality result for the smallest eigenvalues of certain sample covariance matrices
• Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
• Adaptive covariance matrix estimation through block thresholding
• Adaptive thresholding for sparse covariance matrix estimation
• An Analysis of a Two-Way Model with Interaction and No Replication
• Analysis of the limiting spectral distribution of large dimensional information-plus-noise type matrices
• Another look at the moment method for large dimensional random matrices
• Approximate null distribution of the largest root in multivariate analysis
• Approximation of Haar distributed matrices and limiting distributions of eigenvalues of Jacobi ensembles
• Asymptotic properties of eigenmatrices of a large sample covariance matrix
• Asymptotic properties of large random matrices with independent entries
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Asymptotics of the principal components estimator of large factor models with weakly influential factors
• Banding sample autocovariance matrices of stationary processes
• Beta ensembles, stochastic Airy spectrum, and a diffusion
• Bulk universality for Wigner Hermite matrices with subexponential decay
• Bulk universality for Wigner matrices
• Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• Central limit theorem for linear eigenvalue statistics of the Wigner and sample covariance random matrices
• Central limit theorem for traces of large random symmetric matrices with independent matrix elements
• Central limit theorems for linear spectral statistics of large dimensional \(F\)-matrices
• Characteristic vectors of bordered matrices with infinite dimensions
• Characterization of Chaotic Quantum Spectra and Universality of Level Fluctuation Laws
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• CLT for linear spectral statistics of Wigner matrices
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• Concentration of the spectral measure for large matrices
• Convergence of the empirical spectral distribution function of beta matrices
• Convergence rate of expected spectral distributions of large random matrices. I: Wigner matrices
• Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices
• Convergence Rates of Spectral Distributions of Large Sample Covariance Matrices
• Convergence rates of the spectral distributions of large Wigner matrices
• Convergence to the semicircle law
• Corrections to LRT on large-dimensional covariance matrix by RMT
• Covariance regularization by thresholding
• Covariance-regularized regression and classification for high dimensional problems
• Determinantal random point fields
• Determining the Number of Factors in Approximate Factor Models
• Deterministic equivalents for certain functionals of large random matrices
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Edge universality of correlation matrices
• Edgeworth expansion of the largest eigenvalue distribution function of GUE and LUE
• Eigen-Inference for Energy Estimation of Multiple Sources
• Eigenvalue distribution of large random matrices
• Eigenvalue distribution of large sample covariance matrices of linear processes
• Eigenvalues of large sample covariance matrices of spiked population models
• Eigenvectors of some large sample covariance matrix ensembles
• Empirical Bayes estimation of the multivariate normal covariance matrix
• Estimating covariance matrices
• Estimation of a covariance matrix under Stein's loss
• Exact separation of eigenvalues of large dimensional sample covariance matrices
• Explaining the single factor bias of arbitrage pricing models in finite samples
• Fast approach to the tracy-widom law at the edge of GOE and GUE
• Financial applications of random matrix theory: a short review
• Finite sample approximation results for principal component analysis: A matrix perturbation approach
• Fluctuations of eigenvalues and second order Poincaré inequalities
• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
• Fredholm determinants, differential equations and matrix models
• From random matrices to stochastic operators
• Functional CLT for sample covariance matrices
• Gaussian fluctuations of eigenvalues in the GUE
• Gaussian fluctuations of eigenvalues in Wigner random matrices
• Gaussian limit for determinantal random point fields.
• Generalized thresholding of large covariance matrices
• High-dimensional analysis of semidefinite relaxations for sparse principal components
• High-dimensional classification using features annealed independence rules
• High-dimensional graphs and variable selection with the Lasso
• High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
• scientific article; zbMATH DE number 1722641 (Why is no real title available?)
• scientific article; zbMATH DE number 5943539 (Why is no real title available?)
• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• scientific article; zbMATH DE number 5278585 (Why is no real title available?)
• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3673370 (Why is no real title available?)
• scientific article; zbMATH DE number 3474264 (Why is no real title available?)
• scientific article; zbMATH DE number 1347881 (Why is no real title available?)
• scientific article; zbMATH DE number 1465044 (Why is no real title available?)
• scientific article; zbMATH DE number 2172364 (Why is no real title available?)
• scientific article; zbMATH DE number 2174437 (Why is no real title available?)
• scientific article; zbMATH DE number 889593 (Why is no real title available?)
• scientific article; zbMATH DE number 5020283 (Why is no real title available?)
• scientific article; zbMATH DE number 6026126 (Why is no real title available?)
• scientific article; zbMATH DE number 5204610 (Why is no real title available?)
• scientific article; zbMATH DE number 3383043 (Why is no real title available?)
• Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates
• Inferential Theory for Factor Models of Large Dimensions
• Interpolation zwischen den Klassen 𝔖_p von Operatoren in Hilberträumen
• Large deviations of the extreme eigenvalues of random deformations of matrices
• Large information plus noise random matrix models and consistent subspace estimation in large sensor networks
• Large random matrices: Lectures on macroscopic asymptotics. École d'Été des Probabilités de Saint-Flour XXXVI -- 2006
• Lectures on the Combinatorics of Free Probability
• Level-spacing distributions and the Airy kernel
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Limiting behavior of the eigenvalues of a multivariate F matrix
• Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
• Limiting spectral distribution for a class of random matrices
• Limiting spectral distribution of large-dimensional sample covariance matrices generated by VARMA
• Linear functionals of eigenvalues of random matrices
• Local semicircle law and complete delocalization for Wigner random matrices
• Log-gases and random matrices.
• Low eigenvalues of Laplacian matrices of large random graphs
• Matrix models for beta ensembles
• Minimax bounds for sparse PCA with noisy high-dimensional data
• Minimax estimation of large covariance matrices under _1-norm
• Minimax estimators for a multinormal precision matrix
• Model selection and estimation in the Gaussian graphical model
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• Necessary and sufficient condition that the limit of Stieltjes transforms is a Stieltjes transform
• Necessary and sufficient conditions for almost sure convergence of the largest eigenvalue of a Wigner matrix
• No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of information-plus-noise type matrices
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Nonparametric estimation of large covariance matrices of longitudinal data
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis
• On a model selection problem from high-dimensional sample covariance matrices
• On asymptotics of eigenvectors of large sample covariance matrix
• On consistency and sparsity for principal components analysis in high dimensions
• ON ESTIMATION OF THE POPULATION SPECTRAL DISTRIBUTION FROM A HIGH‐DIMENSIONAL SAMPLE COVARIANCE MATRIX
• On finite rank deformations of Wigner matrices
• On finite rank deformations of Wigner matrices. II: Delocalized perturbations
• On fluctuations of eigenvalues of random Hermitian matrices.
• On fluctuations of matrix entries of regular functions of Wigner matrices with non-identically distributed entries
• On information plus noise kernel random matrices
• On orthogonal and symplectic matrix ensembles
• On sample eigenvalues in a generalized spiked population model
• On the asymptotic distribution of the eigenvalues of random matrices
• On the convergence of the spectral empirical process of Wigner matrices
• On the distribution of the largest eigenvalue in principal components analysis
• On the distribution of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• On the distribution of the roots of certain symmetric matrices
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• On the empirical distribution of eigenvalues of large dimensional information-plus-noise-type matrices
• On the estimation of integrated covariance matrices of high dimensional diffusion processes
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• On the lower bound of the spectral norm of symmetric random matrices with independent entries
• On the realized risk of high-dimensional Markowitz portfolios
• On the relation between orthogonal, symplectic and unitary matrix ensembles
• On the signal-to-interference ratio of CDMA systems in wireless communications
• On the top eigenvalue of heavy-tailed random matrices
• On Wigner's semicircle law for the eigenvalues of random matrices
• Operator norm consistent estimation of large-dimensional sparse covariance matrices
• Optimal rates of convergence for covariance matrix estimation
• Optimal unsupervised learning
• Orthogonal polynomials and random matrices: a Riemann-Hilbert approach.
• Partial correlation estimation by joint sparse regression models
• Patterns in eigenvalues: the 70th Josiah Willard Gibbs lecture
• Penalized classification using Fisher's linear discriminant
• Performance of Statistical Tests for Single-Source Detection Using Random Matrix Theory
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• Poisson convergence for the largest eigenvalues of heavy tailed random matrices
• Poisson Statistics for the Largest Eigenvalues in Random Matrix Ensembles
• Poisson statistics for the largest eigenvalues of Wigner random matrices with heavy tails
• Principal component analysis.
• Probabilistic Principal Component Analysis
• Random covariance matrices: universality of local statistics of eigenvalues
• Random covariance matrices: universality of local statistics of eigenvalues up to the edge
• Random matrices, nonbacktracking walks, and orthogonal polynomials
• Random matrices: law of the determinant
• Random matrices: sharp concentration of eigenvalues
• Random matrices: The distribution of the smallest singular values
• Random matrices: universality of local eigenvalue statistics
• Random matrices: Universality of local eigenvalue statistics up to the edge
• Random matrix ensembles with an effective extensive external charge
• Random matrix methods for wireless communications.
• Random matrix theory
• Random matrix theory. Invariant ensembles and universality
• Rate of convergence in probability to the Marchenko-Pastur law
• Regularized estimation of large covariance matrices
• Remarks on the convergence rate of the spectral distributions of Wigner matrices
• Rigidity of eigenvalues of generalized Wigner matrices
• Robust Estimation of a Location Parameter
• Robust m-estimators of multivariate location and scatter
• Second order freeness and fluctuations of random matrices. I: Gaussian and Wishart matrices and cyclic Fock spaces
• Semicircle Law for Hadamard Products
• Shape fluctuations and random matrices
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
• Some theory for Fisher's linear discriminant function, `naive Bayes', and some alternatives when there are many more variables than observations
• Sparse canonical correlation analysis
• Sparse canonical correlation analysis with application to genomic data integration
• Sparse inverse covariance estimation with the graphical lasso
• Sparse linear discriminant analysis by thresholding for high dimensional data
• Sparse PCA: optimal rates and adaptive estimation
• Sparse permutation invariant covariance estimation
• Sparse principal component analysis and iterative thresholding
• Sparsistency and rates of convergence in large covariance matrix estimation
• Spectral clustering and the high-dimensional stochastic blockmodel
• Spectral distributions of adjacency and Laplacian matrices of random graphs
• Spectral measure of large random Hankel, Markov and Toeplitz matrices
• Spectral norm of products of random and deterministic matrices
• Spectrum estimation for large dimensional covariance matrices using random matrix theory
• Statistical eigen-inference from large Wishart matrices
• Statistical Theory of the Energy Levels of Complex Systems. I
• Strong convergence of ESD for the generalized sample covariance matrices when p/n 0
• Testing hypotheses about the number of factors in large factor models
• The concentration of measure phenomenon
• The convergence of the empirical distribution of canonical correlation coefficients
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• The empirical distribution of the eigenvalues of a Gram matrix with a given variance profile
• The Generalized Dynamic Factor Model
• The generalized dynamic factor model consistency and rates
• The isotropic semicircle law and deformation of Wigner matrices
• The largest eigenvalue of rank one deformation of large Wigner matrices
• The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations
• The largest eigenvalues of sample covariance matrices for a spiked population: diagonal case
• The limiting distributions of eigenvalues of sample correlation matrices
• The Limiting Eigenvalue Distribution of a Multivariate F Matrix
• The limiting empirical measure of multiple discriminant ratios
• The outliers among the singular values of large rectangular random matrices with additive fixed rank deformation
• The outliers of a deformed Wigner matrix
• The spectral edge of some random band matrices
• The spectrum of kernel random matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• The Tracy-Widom law for some sparse random matrices
• Theory of Financial Risk and Derivative Pricing
• Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• Trimmed minimax estimator of a covariance matrix
• Universality at the edge of the spectrum in Wigner random matrices.
• Universality of local eigenvalue statistics for some sample covariance matrices
• Universality of local spectral statistics of random matrices
• Universality of the local spacing distribution in certain ensembles of Hermitian Wigner matrices
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices

Cited in

(87)

• An adaptable generalization of Hotelling's T^2 test in high dimension
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
• Asymptotics for empirical eigenvalue processes in high-dimensional linear factor models
• Estimation of two high-dimensional covariance matrices and the spectrum of their ratio
• CLT for largest eigenvalues and unit root testing for high-dimensional nonstationary time series
• Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model
• MIXANDMIX: numerical techniques for the computation of empirical spectral distributions of population mixtures
• Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes
• Spiked separable covariance matrices and principal components
• High-dimensional linear models: a random matrix perspective
• On the evaluation of the eigendecomposition of the Airy integral operator
• Random matrix theory and its applications
• Large sample correlation matrices: a comparison theorem and its applications
• Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Wigner and Wishart ensembles for sparse Vinberg models
• Optimal prediction in the linearly transformed spiked model
• Consistent estimation of high-dimensional factor models when the factor number is over-estimated
• High-dimensional general linear hypothesis tests via non-linear spectral shrinkage
• Permutation methods for factor analysis and PCA
• Edge universality of separable covariance matrices
• On testing for high-dimensional white noise
• Estimation of linear projections of non-sparse coefficients in high-dimensional regression
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
• 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
• Test for high-dimensional correlation matrices
• On the Marčenko-Pastur law for linear time series
• Fluctuations of Marchenko-Pastur limit of random matrices with dependent entries
• Hypothesis tests for principal component analysis when variables are standardized
• An introduction to recent advances in high/infinite dimensional statistics
• Wavelet eigenvalue regression in high dimensions
• On the Tracy-Widom approximation of Studentized extreme eigenvalues of Wishart matrices
• Application of Random Matrix Theory to Multivariate Statistics
• scientific article; zbMATH DE number 5943539 (Why is no real title available?)
• Multivariate statistics
• Deterministic parallel analysis: an improved method for selecting factors and principal components
• Maximum likelihood and maximum a posteriori estimators for the Riesz probability distribution
• Random matrix theory
• CLT for linear spectral statistics of a rescaled sample precision matrix
• Book review: Terence Tao: Topics in random matrix theory
• Future of statistics
• Intermediate level statistics with one-parameter random matrix ensembles
• Assessing modularity using a random matrix theory approach
• History -- an overview
• Random matrix theory and (big) data analysis
• WONDER: weighted one-shot distributed ridge regression in high dimensions
• Random matrix models for datasets with fixed time horizons
• The conjugate gradient algorithm on a general class of spiked covariance matrices
• On the empirical spectral distribution of lag-covariance matrix in singular spectrum analysis
• A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models*
• Random matrices and high-dimensional statistics: beyond covariance matrices
• Conditional random matrix ensembles and the stability of dynamical systems
• What causes the test error? Going beyond bias-variance via ANOVA
• scientific article; zbMATH DE number 7415108 (Why is no real title available?)
• Improved shrinkage prediction under a spiked covariance structure
• Free deterministic equivalent Z-scores of compound Wishart models: A goodness of fit test of 2D ARMA models
• Cleaning large correlation matrices: tools from random matrix theory
• On the singular value distribution of large-dimensional data matrices whose columns have different correlations
• scientific article; zbMATH DE number 7128792 (Why is no real title available?)
• Considering Horn's parallel analysis from a random matrix theory point of view
• Random Matrix Theory and Wireless Communications
• Large-dimensional random matrix theory and its applications in deep learning and wireless communications
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• On singular values of data matrices with general independent columns
• Entrywise limit theorems for eigenvectors of signal-plus-noise matrix models with weak signals
• High-dimensional covariance matrix estimation
• Testing Serial Correlation and ARCH Effect of High-Dimensional Time-Series Data
• Testing General Linear Hypotheses Under a High-Dimensional Multivariate Regression Model with Spiked Noise Covariance
• Detecting spectral breaks in spiked covariance models
• Spectra of large dimensional random Gram matrices under partial dependence
• Identifying the Structure of High-Dimensional Time Series via Eigen-Analysis
• Limiting spectral distributions of random matrices having equi-correlated normal structure
• Theory of functional principal component analysis for discretely observed data
• Portfolio optimisation via strategy-specific eigenvector shrinkage
• On the empirical spectral distribution of large wavelet random matrices based on mixed-Gaussian fractional measurements in moderately high dimensions
• A note on the convergence of the extreme eigenvalues of a large-dimensional sample covariance matrix
• Spectral properties of elementwise-transformed spiked matrices
• Automatic sparse PCA for high-dimensional data
• On high-dimensional wavelet eigenanalysis
• Estimating the number of significant components in high-dimensional principal component analysis
• The Stieltjes transform order and related ratio order
• Title not available (Why is no real title available?)
• Principal components in linear mixed models with general bulk
• Central limit theorem for linear spectral statistics of large dimensional Kendall's rank correlation matrices and its applications
• On photon statistics parametrized by a non-central Wishart random matrix

Describes a project that uses

Uses Software

• glasso
• penalizedLDA
• scout
• PMA
• Rmtstat

This page was built for publication: Random matrix theory in statistics: a review

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2453609)