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08/16/2023
Global and local CLTs for linear spectral statistics of general sample covariance matrices when the dimension is much larger than the sample size with applications
In this paper, under the assumption that the dimension is much larger th...
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04/16/2023
Tracy-Widom distribution for the edge eigenvalues of elliptical model
In this paper, we study the largest eigenvalues of sample covariance mat...
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03/06/2023
Extreme eigenvalues of sample covariance matrices under generalized elliptical models with applications
We consider the extreme eigenvalues of the sample covariance matrix Q=YY...
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02/28/2022
Learning Low-Dimensional Nonlinear Structures from High-Dimensional Noisy Data: An Integral Operator Approach
We propose a kernel-spectral embedding algorithm for learning low-dimens...
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12/23/2021
A Riemann–Hilbert approach to the perturbation theory for orthogonal polynomials: Applications to numerical linear algebra and random matrix theory
We establish a new perturbation theory for orthogonal polynomials using ...
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12/16/2021
Simultaneous Sieve Inference for Time-Inhomogeneous Nonlinear Time Series Regression
In this paper, we consider the time-inhomogeneous nonlinear time series ...
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12/01/2021
Auto-Regressive Approximations to Non-stationary Time Series, with Inference and Applications
Understanding the time-varying structure of complex temporal systems is ...
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11/22/2021
How do kernel-based sensor fusion algorithms behave under high dimensional noise?
We study the behavior of two kernel based sensor fusion algorithms, nonp...
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06/25/2021
The conjugate gradient algorithm on a general class of spiked covariance matrices
We consider the conjugate gradient algorithm applied to a general class ...
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11/21/2020
Phase transition of graph Laplacian of high dimensional noisy random point cloud
We systematically explore the spectral distribution of kernel-based grap...
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10/08/2020
Multivariate functional responses low rank regression with an application to brain imaging data
We propose a multivariate functional responses low rank regression model...
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09/01/2020
Edge statistics of large dimensional deformed rectangular matrices
We consider the edge statistics of large dimensional deformed rectangula...
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08/27/2020
Statistical inference for principal components of spiked covariance matrices
In this paper, we study the asymptotic behavior of the extreme eigenvalu...
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08/10/2020
Tracy-Widom distribution for the edge eigenvalues of Gram type random matrices
Large dimensional Gram type matrices are common objects in high-dimensio...
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12/30/2019
Globally Optimal And Adaptive Short-Term Forecast of Locally Stationary Time Series And A Test for Its Stability
Forecasting the evolution of complex systems is one of the grand challen...
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09/25/2019
On the spectral property of kernel-based sensor fusion algorithms of high dimensional data
In this paper, we apply local laws of random matrices and free probabili...
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07/29/2019
Principal components of spiked covariance matrices in the supercritical regime
In this paper, we study the asymptotic behavior of the extreme eigenvalu...
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05/29/2019
Spiked separable covariance matrices and principal components
We introduce a class of separable sample covariance matrices of the form...
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10/24/2018
Modified Multidimensional Scaling and High Dimensional Clustering
Multidimensional scaling is an important dimension reduction tool in sta...
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09/27/2018
Singular vector and singular subspace distribution for the matrix denoising model
In this paper, we study the matrix denosing model Y=S+X, where S is a lo...
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03/03/2018
Estimation and inference for precision matrices of non-stationary time series
In this paper, we consider the estimation and inference of precision mat...
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03/03/2018
