DETECTION OF WEAK SIGNALS IN HIGH-DIMENSIONAL COMPLEX-VALUED DATA

DOI10.1142/S2010326314500014zbMath1291.94026arXiv1207.7098MaRDI QIDQ5416403

Alexei Onatski

Publication date: 20 May 2014

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.7098

zbMATH Keywords

hypergeometric function; contiguity; signal detection; asymptotic power; power envelope; sphericity tests; spiked covariance; sub-critical regime; Harish-Chandra/Itzykson-Zuber integral; torus scalar product

Mathematics Subject Classification ID

62H15: Hypothesis testing in multivariate analysis

41A60: Asymptotic approximations, asymptotic expansions (steepest descent, etc.)

94A12: Signal theory (characterization, reconstruction, filtering, etc.)

94A13: Detection theory in information and communication theory

62F05: Asymptotic properties of parametric tests

33C50: Orthogonal polynomials and functions in several variables expressible in terms of special functions in one variable

Related Items

Multiple change-points detection in high dimension, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models, Signal detection in high dimension: the multispiked case

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