2 papers
math.ST2019
Asymptotic Analysis for Extreme Eigenvalues of Principal Minors of Random Matrices
T. Tony Cai, Tiefeng Jiang, Xiaoou Li
Consider a standard white Wishart matrix with parameters and . Motivated by applications in high-dimensional statistics and signal processing, we perform asymptotic analysis…
math.PR2018
Unbiased Sampling of Multidimensional Partial Differential Equations with Random Coefficients
Jose Blanchet, Fengpei Li, Xiaoou Li
We construct an unbiased estimator for function value evaluated at the solution of a partial differential equation with random coefficients. We show that the variance and expected…