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math.ST2026
A new approach for estimating the number of spikes in high-dimensional Gaussian models
Hugo Jeannin, Pascal Vallet, Florent Bouchard +2
In this paper, we study the estimation of the signal subspace dimension in a -variate signal-plus-noise complex Gaussian model, when the noise covariance matrix is assumed t…
math.ST2024★ 1 cited
A New Statistic for Testing Covariance Equality in High-Dimensional Gaussian Low-Rank Models
Rémi Beisson, Pascal Vallet, Audrey Giremus +1
In this paper, we consider the problem of testing equality of the covariance matrices of L complex Gaussian multivariate time series of dimension . We study the special case wh…