36 citations · 212 across the 30 of their papers we have counts for
5 papers · 1 filter
On the Domain of Attraction of a Tracy-Widom Law with Applications to Testing Multiple Largest Roots
Didier Chételat, Rajendran Narayanan, Martin T. Wells
The greatest root statistic arises as the test statistic in several multivariate analysis settings. Suppose there is a global null hypothesis that consists of different independent…
Improved Second Order Estimation in the Singular Multivariate Normal Model
Didier Chételat, Martin T. Wells
We consider the problem of estimating covariance and precision matrices, and their associated discriminant coefficients, from normal data when the rank of the covariance matrix is…
Noise Estimation in the Spiked Covariance Model
Didier Chételat, Martin T. Wells
The problem of estimating a spiked covariance matrix in high dimensions under Frobenius loss, and the parallel problem of estimating the noise in spiked PCA is investigated. We pro…
AIC, Cp and estimators of loss for elliptically symmetric distributions
Aurélie Boisbunon, Stephane Canu, Dominique Fourdrinier +2
In this article, we develop a modern perspective on Akaike's Information Criterion and Mallows' Cp for model selection. Despite the diff erences in their respective motivation, the…
Improved multivariate normal mean estimation with unknown covariance when p is greater than n
Didier Chételat, Martin T. Wells
We consider the problem of estimating the mean vector of a p-variate normal distribution under invariant quadratic loss, , when the covariance is unknown…