Extreme eigenvalues of large-dimensional spiked Fisher matrices with application

DOI10.1214/16-AOS1463zbMath1360.62283arXiv1504.05087OpenAlexW3098595644MaRDI QIDQ524466

Qinwen Wang, Jian-feng Yao

Publication date: 2 May 2017

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

Full work available at URL: https://arxiv.org/abs/1504.05087

zbMATH Keywords

phase transitioncentral limit theoremsignal detectionhigh-dimensional data analysisspiked population modelextreme eigenvaluelarge-dimensional Fisher matricesspiked Fisher matrix

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05)

Related Items (13)

Order Determination for Spiked Type Models ⋮ Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations ⋮ Order determination for spiked-type models with a divergent number of spikes ⋮ Spiked multiplicative random matrices and principal components ⋮ A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes ⋮ Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case ⋮ The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications ⋮ Random matrix-improved estimation of covariance matrix distances ⋮ Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes ⋮ Random matrix theory and its applications ⋮ Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors ⋮ Approximation of the power functions of Roy’s largest root test under general spiked alternatives ⋮ CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures

This page was built for publication: Extreme eigenvalues of large-dimensional spiked Fisher matrices with application