Residential College | false |
Status | 已發表Published |
Asymptotic Linear Spectral Statistics for Spiked Hermitian Random Matrices | |
Damien Passemier1; Matthew R. McKay1; Yang Chen2 | |
2015-03-24 | |
Source Publication | Journal of Statistical Physics |
ISSN | 0022-4715 |
Volume | 160Issue:1Pages:120-150 |
Abstract | Using the Coulomb Fluid method, this paper derives central limit theorems (CLTs) for linear spectral statistics of three “spiked” Hermitian random matrix ensembles. These include Johnstone’s spiked model (i.e., central Wishart with spiked correlation), non-central Wishart with rank-one non-centrality, and a related class of non-central $$F$$F matrices. For a generic linear statistic, we derive simple and explicit CLT expressions as the matrix dimensions grow large. For all three ensembles under consideration, we find that the primary effect of the spike is to introduce an $$O(1)$$O(1) correction term to the asymptotic mean of the linear spectral statistic, which we characterize with simple formulas. The utility of our proposed framework is demonstrated through application to three different linear statistics problems: the classical likelihood ratio test for a population covariance, the capacity analysis of multi-antenna wireless communication systems with a line-of-sight transmission path, and a classical multiple sample significance testing problem. |
Keyword | F-matrix High-dimensional Statistics Hypothesis Testing Mimo Systems Random Matrix Theory Spiked Population Model Wishart Ensembles |
DOI | 10.1007/s10955-015-1233-x |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Physics |
WOS Subject | Physics, Mathematical |
WOS ID | WOS:000356579000007 |
Scopus ID | 2-s2.0-84931569329 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF MATHEMATICS |
Affiliation | 1.Department of Electronic and Computer Engineering, Hong Kong University of Science and Technology (HKUST), Clear Water Bay, Kowloon, Hong Kong 2.Department of Mathematics, Faculty of Science and Technology, University of Macau, Avenue Padre Tomás Pereira, Taipa, Macau, China |
Recommended Citation GB/T 7714 | Damien Passemier,Matthew R. McKay,Yang Chen. Asymptotic Linear Spectral Statistics for Spiked Hermitian Random Matrices[J]. Journal of Statistical Physics, 2015, 160(1), 120-150. |
APA | Damien Passemier., Matthew R. McKay., & Yang Chen (2015). Asymptotic Linear Spectral Statistics for Spiked Hermitian Random Matrices. Journal of Statistical Physics, 160(1), 120-150. |
MLA | Damien Passemier,et al."Asymptotic Linear Spectral Statistics for Spiked Hermitian Random Matrices".Journal of Statistical Physics 160.1(2015):120-150. |
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