2 papers
cs.IT2021
On the largest singular values of certain large random matrices with application to the estimation of the minimal dimension of the state-space representations of high-dimensional time series
Daria Tieplova, Philippe Loubaton
This paper is devoted to the estimation of the minimal dimension P of the state-space realizations of a high-dimensional time series y, defined as a noisy version (the noise is whi…
math.PR2019
On the behaviour of large empirical autocovariance matrices between the past and the future
Philippe Loubaton, Daria Tieplova
The asymptotic behaviour of the distribution of the squared singular values of the sample autocovariance matrix between the past and the future of a high-dimensional complex Gaussi…