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cs.IT2025
Information-theoretic limits and approximate message-passing for high-dimensional time series
Daria Tieplova, Samriddha Lahiry, Jean Barbier
High-dimensional time series appear in many scientific setups, demanding a nuanced approach to model and analyze the underlying dependence structure. Theoretical advancements so fa…
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…