101 citations · 243 across the 33 of their papers we have counts for
11 papers · 1 filter
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…
Spectral Statistics of Sample Block Correlation Matrices
Zhigang Bao, Jiang Hu, Xiaocong Xu +1
A fundamental concept in multivariate statistics, sample correlation matrix, is often used to infer the correlation/dependence structure among random variables, when the population…
Statistical inference for principal components of spiked covariance matrices
Zhigang Bao, Xiucai Ding, Jingming Wang +1
In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the high dimensional spiked sample covariance matrices, in the supercritical case whe…
Principal components of spiked covariance matrices in the supercritical regime
Zhigang Bao, Xiucai Ding, Jingming Wang +1
In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the spiked covariance matrices, in the supercritical regime. Specifically, we derive…
Singular vector and singular subspace distribution for the matrix denoising model
Zhigang Bao, Xiucai Ding, Ke Wang
In this paper, we study the matrix denosing model , where is a low-rank deterministic signal matrix and is a random noise matrix, and both are . In the sc…
Tracy-Widom limit for Kendall's tau
Zhigang Bao
In this paper, we study a high-dimensional random matrix model from nonparametric statistics called the Kendall rank correlation matrix, which is a natural multivariate extension o…
Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
Zhigang Bao, Jiang Hu, Guangming Pan +1
Consider a Gaussian vector , consisting of two sub-vectors and with dimensions and respectively, where both…
Test of Independence for High-dimensional Random Vectors Based on Block Correlation Matrices
Zhigang Bao, Jiang Hu, Guangming Pan +1
In this paper, we are concerned with the independence test for high-dimensional sub-vectors of a normal vector, with fixed positive integer . A natural high-dimensional exte…
Canonical correlation coefficients of high-dimensional normal vectors: finite rank case
Zhigang Bao, Jiang Hu, Guangming Pan +1
Consider a normal vector , consisting of two sub-vectors and with dimensions and respectively. With ind…
Spectral statistics of large dimensional Spearman's rank correlation matrix and its application
Zhigang Bao, Liang-Ching Lin, Guangming Pan +1
Let be a random vector drawn from the uniform distribution on the set of all permutations of . Let $\mathbf{Z}=(Z_1,\ldots,Z_n)…
Tracy-Widom law for the extreme eigenvalues of sample correlation matrices
Zhigang Bao, Guangming Pan, Wang Zhou
Let the sample correlation matrix be , where with . We assume to be…