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math.ST2023
Spectral Statistics of the Sample Covariance Matrix for High Dimensional Linear Gaussians
Muhammad Abdullah Naeem, Miroslav Pajic
Performance of ordinary least squares(OLS) method for the \emph{estimation of high dimensional stable state transition matrix} (i.e., spectral radius ) from a single noi…
math.ST2023
From Spectral Theorem to Statistical Independence with Application to System Identification
Muhammad Abdullah Naeem, Amir Khazraei, Miroslav Pajic
High dimensional random dynamical systems are ubiquitous, including -- but not limited to -- cyber-physical systems, daily return on different stocks of S&P 1500 and velocity profi…
math.ST2023
High Dimensional Geometry and Limitations in System Identification
Muhammad Abdullah Naeem, Miroslav Pajic
We study the problem of identification of linear dynamical system from a single trajectory, via excitations of isotropic Gaussian. In stark contrast with previously reported result…