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20112026
most citedUniversality for the largest eigenvalue of sample covariance matrices with general population

101 citations · 243 across the 33 of their papers we have counts for

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11 papers · 1 filter

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.ST2022★ 3 cited

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…

math.ST2020

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…

math.ST2019★ 3 cited

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…

math.ST2018★ 16 cited

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…

math.ST2017

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…

math.ST2017★ 7 cited

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…

math.ST2014

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…

math.ST2014★ 6 cited

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…

math.ST2013★ 36 cited

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)…

math.ST2011★ 1 cited

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…