Estimation of the number of spikes, possibly equal, in the high-dimensional case

JOURNAL OF MULTIVARIATE ANALYSIS

卷:127

Article

Passemier, Damien¹  Yao, Jianfeng² 

[1] Hong Kong Univ Sci & Technol, Dept Elect & Comp Engn, Kowloon, Hong Kong, Peoples R China

[2] Univ Hong Kong, Dept Stat & Actuarial Sci, Hong Kong, Hong Kong, Peoples R China

关键词: Spiked population model;    High-dimensional covariance matrix;    Random matrix theory;    Tracy-Widom law;   

DOI  :  10.1016/j.jmva.2014.02.017

来源: Elsevier

【 摘 要 】

Estimating the number of spikes in a spiked model is an important problem in many areas such as signal processing. Most of the classical approaches assume a large sample size n whereas the dimension p of the observations is kept small. In this paper, we consider the case of high dimension, where p is large compared to n. The approach is based on recent results of random matrix theory. We extend our previous results to a more difficult situation where some spikes are equal, and compare our algorithm to an existing benchmark method. 2014 Elsevier Inc. All rights reserved.

【 授权许可】

Free