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Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy--Widom limits and rates of convergence
Annals of Statistics (Ann. Stat.), 2008
23 March 2008
Iain M. Johnstone
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Papers citing
"Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy--Widom limits and rates of convergence"
50 / 51 papers shown
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Matrix Denoising with Partial Noise Statistics: Optimal Singular Value Shrinkage of Spiked F-Matrices
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Numerical computation for the exact distribution of Roy's largest root statistic under linear alternative
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Asymptotics of Cointegration Tests for High-Dimensional VAR(
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Review of Economics and Statistics (REStat), 2022
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Provable Data Clustering via Innovation Search
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Convergence rate to the Tracy--Widom laws for the largest eigenvalue of sample covariance matrices
The Annals of Applied Probability (Ann. Appl. Probab.), 2021
Kevin Schnelli
Yuanyuan Xu
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Cointegration in large VARs
Annals of Statistics (Ann. Stat.), 2020
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Computable structural formulas for the distribution of the
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The Ramanujan journal (Ramanujan J.), 2020
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Fisher's combined probability test for high-dimensional covariance matrices
Journal of the American Statistical Association (JASA), 2020
Xiufan Yu
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Lingzhou Xue
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31 May 2020
Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
Annales De L Institut Henri Poincare-probabilites Et Statistiques (Ann. IHP Probab. Stat.), 2020
Fan Yang
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Expressing the largest eigenvalue of a singular beta F-matrix with heterogeneous hypergeometric functions
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Spectral Discovery of Jointly Smooth Features for Multimodal Data
SIAM Journal on Mathematics of Data Science (SIMODS), 2020
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Rotem Mulayoff
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Permutation Inference for Canonical Correlation Analysis
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O. Renaud
Stephen M. Smith
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Sample canonical correlation coefficients of high-dimensional random vectors: local law and Tracy-Widom limit
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Asymptotic Analysis for Extreme Eigenvalues of Principal Minors of Random Matrices
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21 May 2019
Exact Largest Eigenvalue Distribution for Doubly Singular Beta Ensemble
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Asymptotic Theory of Eigenvectors for Random Matrices with Diverging Spikes
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Xiao Han
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Tracy-Widom limit for the largest eigenvalue of high-dimensional covariance matrices in elliptical distributions
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Likelihood Ratio Test in Multivariate Linear Regression: from Low to High Dimension
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Tiefeng Jiang
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Local White Matter Architecture Defines Functional Brain Dynamics
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Yoonsuck Choe
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On singular value distribution of large dimensional data matrices whose columns have different correlations
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Spectral Radii of Truncated Circular Unitary Matrices
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Testing for Independence of Large Dimensional Vectors
Annals of Statistics (Ann. Stat.), 2017
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Holger Dette
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Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
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Jiang Hu
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Empirical Distribution of Scaled Eigenvalues for Product of Matrices from the Spherical Ensemble
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Y. Qi
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24 Jan 2017
Cleaning large correlation matrices: tools from random matrix theory
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J. Bouchaud
M. Potters
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On Gaussian Comparison Inequality and Its Application to Spectral Analysis of Large Random Matrices
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Sheng Xu
Wen-Xin Zhou
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A unified matrix model including both CCA and F matrices in multivariate analysis: the largest eigenvalue and its applications
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G. Pan
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259
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Online Bayesian Collaborative Topic Regression
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Tao Jin
Guosheng Lin
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Jianling Sun
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28 May 2016
On the Domain of Attraction of a Tracy-Widom Law with Applications to Testing Multiple Largest Roots
Didier Chételat
Rajendran Narayanan
M. Wells
162
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29 Oct 2015
The Tracy-Widom law for the Largest Eigenvalue of F Type Matrix
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G. Pan
B. Zhang
154
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30 May 2015
The Correlated Jacobi and the Correlated Cauchy-Lorentz ensembles
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D. Waltner
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Santosh Kumar
117
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Independence test for high dimensional data based on regularized canonical correlation coefficients
Yanrong Yang
G. Pan
161
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Sparse CCA: Adaptive Estimation and Computational Barriers
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Zongming Ma
Harrison H. Zhou
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On estimation in the reduced-rank regression with a large number of responses and predictors
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Canonical correlation coefficients of high-dimensional normal vectors: finite rank case
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Jiang Hu
G. Pan
Wang Zhou
327
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Minimax estimation in sparse canonical correlation analysis
Chao Gao
Zongming Ma
Zhao Ren
Harrison H. Zhou
499
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07 May 2014
Distribution of the largest root of a matrix for Roy's test in multivariate analysis of variance
Journal of Multivariate Analysis (JMA), 2014
M. Chiani
354
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16 Jan 2014
Roy's Largest Root Test Under Rank-One Alternatives
Iain M. Johnstone
B. Nadler
386
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24 Oct 2013
Minimax estimation for mixtures of Wishart distributions
L. R. Haff
P. Kim
J. Koo
Donald Richards
274
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Accuracy of the Tracy--Widom limits for the extreme eigenvalues in white Wishart matrices
Zongming Ma
237
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05 Mar 2012
A geometric analysis of subspace clustering with outliers
Mahdi Soltanolkotabi
Emmanuel J. Candés
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19 Dec 2011
Edge universality of correlation matrices
Natesh S. Pillai
J. Yin
229
51
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11 Dec 2011
Universality of covariance matrices
Natesh S. Pillai
J. Yin
586
174
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11 Oct 2011
Fast approach to the Tracy-Widom law at the edge of GOE and GUE
The Annals of Applied Probability (Ann. Appl. Probab.), 2011
Iain M. Johnstone
Zongming Ma
424
48
0
01 Oct 2011
Limiting Laws of Coherence of Random Matrices with Applications to Testing Covariance Structure and Construction of Compressed Sensing Matrices
Tony Cai
Tiefeng Jiang
230
208
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14 Feb 2011
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