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

DOI10.1142/S2010326314500014zbMath1291.94026arXiv1207.7098OpenAlexW2964236196MaRDI 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 functioncontiguitysignal detectionasymptotic powerpower envelopesphericity testsspiked covariancesub-critical regimeHarish-Chandra/Itzykson-Zuber integraltorus scalar product

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13) Asymptotic properties of parametric tests (62F05) Orthogonal polynomials and functions in several variables expressible in terms of special functions in one variable (33C50)

Related Items (3)

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

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