Detection of correlations

DOI10.1214/11-AOS964zbMath1246.62142arXiv1106.1193OpenAlexW3104928457MaRDI QIDQ450041

Gábor Lugosi, Sébastien Bubeck, Ery Arias-Castro

Publication date: 3 September 2012

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

Full work available at URL: https://arxiv.org/abs/1106.1193

zbMATH Keywords

generalized likelihood ratio testsparse covariance matrixscan statisticBayesian detectionminimax detection

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items

Fast nonasymptotic testing and support recovery for large sparse Toeplitz covariance matrices, Optimal detection of sparse principal components in high dimension, Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding, Statistical and computational limits for sparse matrix detection, Sharp optimality for high-dimensional covariance testing under sparse signals, Tests alternative to higher criticism for high-dimensional means under sparsity and column-wise dependence, Combinatorial inference for graphical models, Detecting Markov random fields hidden in white noise, Optimal testing for planted satisfiability problems, Optimality and sub-optimality of PCA. I: Spiked random matrix models, Sequential subspace change point detection, Detecting a Path of Correlations in a Network, Property testing in high-dimensional Ising models, Detecting positive correlations in a multivariate sample

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