9.5k citations · 11.1k across the 33 of their papers we have counts for
35 papers
Method of Moments Estimation of High-Dimensional Covariance Using a Parametric Model
Iain M. Johnstone, Yuchen Wu, Ran Xie
We propose method-of-moments estimators for the eigenvalues of variance component covariance matrices in multivariate mixed effects models. Assuming a parametric form for the eigen…
CLT for Linear Spectral Statistics in High-Dimensional Random Effects Models
Ran Xie, Iain Johnstone
We study sample covariance matrices arising from multi-level components of variance. Thus, let , where are…
Comparison of REML methods for the study of phenome-wide genetic variation
Damian Pavlyshyn, Iain M. Johnstone, Jacqueline L. Sztepanacz
It is now well documented that genetic covariance between functionally related traits leads to an uneven distribution of genetic variation across multivariate trait combinations, a…
Spin glass to paramagnetic transition and triple point in Spherical SK model
Iain M. Johnstone, Yegor Klochkov, Alexei Onatski +1
This paper studies spin glass to paramagnetic transition in the Spherical Sherrington-Kirkpatrick model with ferromagnetic Curie-Weiss interaction with coupling constant and in…
An edge CLT for the log determinant of Wigner ensembles
Iain M. Johnstone, Yegor Klochkov, Alexei Onatski +1
We derive a Central Limit Theorem (CLT) for where is a Wigner matrix, and is local to the edge of the se…
Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data
Iain M. Johnstone, Jeha Yang
These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sa…