Phase transition in limiting distributions of coherence of high-dimensional random matrices
From MaRDI portal
Publication:413738
DOI10.1016/j.jmva.2011.11.008zbMath1352.60006arXiv1102.2926OpenAlexW2019602541MaRDI QIDQ413738
Publication date: 7 May 2012
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1102.2926
coherencephase transitionrandom matrixlimiting distributionmaximumcorrelation coefficientsample correlation matrixChen-Stein method
Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)
Related Items
On high-dimensional sign tests, Spectral Properties of Rescaled Sample Correlation Matrix, Quantification of model bias underlying the phenomenon of Einstein from Noise, Recent advances in directional statistics, Central limit theorems for classical likelihood ratio tests for high-dimensional normal distributions, Unnamed Item, Approximation of rectangular beta-Laguerre ensembles and large deviations, Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices, Point process convergence for the off-diagonal entries of sample covariance matrices, Testing independence with high-dimensional correlated samples, Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings, Largest entries of sample correlation matrices from equi-correlated normal populations, Asymptotic analysis for extreme eigenvalues of principal minors of random matrices, Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models, The asymptotic distributions of the largest entries of sample correlation matrices under an \(\alpha\)-mixing assumption, High-dimensional tests for spherical location and spiked covariance
Cites Work
- Unnamed Item
- Unnamed Item
- On Jiang's asymptotic distribution of the largest entry of a sample correlation matrix
- Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
- On the distribution of the roots of certain symmetric matrices
- Near-ideal model selection by \(\ell _{1}\) minimization
- Two moments suffice for Poisson approximations: The Chen-Stein method
- Robust tests for spherical symmetry
- The asymptotic distributions of the largest entries of sample correlation matrices.
- Book review of: Daniel S. Alexander, A history of complex dynamics. From Schröder to Fatou and Julia.
- The asymptotic distribution and Berry-Esseen bound of a new test for independence in high dimension with an application to stochastic optimization
- Simultaneous analysis of Lasso and Dantzig selector
- The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
- Some strong limit theorems for the largest entries of sample correlation matrices
- Large-Scale Correlation Screening
- A Selective Overview of Variable Selection in High Dimensional Feature Space (Invited Review Article)
- On Sparse Representations in Arbitrary Redundant Bases
- Decoding by Linear Programming
- Stable recovery of sparse overcomplete representations in the presence of noise
- Asymptotic distribution of the largest off-diagonal entry of correlation matrices
- Uncertainty principles and ideal atomic decomposition
- Shifting Inequality and Recovery of Sparse Signals
- Sure Independence Screening for Ultrahigh Dimensional Feature Space
- Stable Recovery of Sparse Signals and an Oracle Inequality
- Compressed sensing
- Necessary and sufficient conditions for the asymptotic distribution of the largest entry of a sample correlation matrix
