On the singular value distribution of large-dimensional data matrices whose columns have different correlations

DOI10.1080/02331888.2020.1720021MaRDI QIDQ5222211zbMATH OpenOpenAlexFDO

Authors Yanqing Yin

Publication date 1 April 2020

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1802.01245

zbMATH Keywords

data matrixhigh-dimensional statisticsrandom matrix theorysample covariance matrix

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Asymptotic distribution theory in statistics (62E20)

Abstract: Suppose $mathbf{Y}_n=(mathbf{y}_1,cdots,mathbf{y}_n)$ is a $pimesn$ data matrix whose columns $mathbf{y}_j,1leqjleqn$ have different correlations. The asymptotic spectral property of $mathbf{S}_n=frac1nmathbf{Y}_{n}mathbf{Y}_n^{\ast }$ when $p$ increase with $n$ has been considered by some authors recently. This model has known an increasing popularity due to its widely applications in multi-user multiple-input single-output (MISO) systems and robust signal processing. In this paper, for more convenient applications in practice, we will investigate the spectral distribution of $mathbf{S}_n$ under milder moment conditions than existing work. We also discuss a potential application in sample classification.

Recommendations

• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• The limiting distributions of eigenvalues of sample correlation matrices
• The asymptotic distributions of the largest entries of sample correlation matrices.
• scientific article; zbMATH DE number 5278585
• The asymptotic distribution of singular values with applications to canonical correlations and correspondence analysis

Cites work

• An introduction to random matrices
• Approximate null distribution of the largest root in multivariate analysis
• Concentration of measure and spectra of random matrices: applications to correlation matrices, elliptical distributions and beyond
• Eigenvalue distribution of large random matrices
• scientific article; zbMATH DE number 3136275 (Why is no real title available?)
• scientific article; zbMATH DE number 5278585 (Why is no real title available?)
• scientific article; zbMATH DE number 5691097 (Why is no real title available?)
• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
• Large System Analysis of Linear Precoding in Correlated MISO Broadcast Channels Under Limited Feedback
• Limiting spectral distribution for a class of random matrices
• Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence
• No Eigenvalues Outside the Limiting Support of Generally Correlated Gaussian Matrices
• 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 large-dimensional sample covariance matrices
• On consistency and sparsity for principal components analysis in high dimensions
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Random matrix theory in statistics: a review
• Spectral analysis of large dimensional random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• User-friendly tail bounds for sums of random matrices

Cited in

(3)

• Moment approach for singular values distribution of a large auto-covariance matrix
• On singular values of data matrices with general independent columns
• Two-sample Behrens-Fisher problems for high-dimensional data: a ridgelized Wald-type test

This page was built for publication: On the singular value distribution of large-dimensional data matrices whose columns have different correlations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5222211)