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math.ST2026
Spike Estimation from Heteroscedastic Noise via Random Splitting
Zhigang Bao, Kha Man Cheong, Yuji Li +1
In this paper, we consider a spiked Wigner type matrix with a heteroscedastic and unknown variance profile. It is well known that in the supercritical regime of the BBP transition,…
math.ST2026
A spectral approach for online covariance change point detection
Zhigang Bao, Kha Man Cheong, Yuji Li +1
Change point detection in covariance structures is a fundamental and crucial problem for sequential data. Under the high-dimensional setting, most of the existing research has focu…
math.ST2023
On eigenvalues of sample covariance matrices based on high dimensional compositional data
Qianqian Jiang, Jiaxin Qiu, Zeng Li
This paper studies the asymptotic spectral properties of the sample covariance matrix for high dimensional compositional data, including the limiting spectral distribution, the lim…