Estimation of the number of spikes, possibly equal, in the high-dimensional case

Damien Passemier and Jianfeng Yao

Journal of Multivariate Analysis, 2014, vol. 127, issue C, 173-183

Abstract: Estimating the number of spikes in a spiked model is an important problem in many areas such as signal processing. Most of the classical approaches assume a large sample size n whereas the dimension p of the observations is kept small. In this paper, we consider the case of high dimension, where p is large compared to n. The approach is based on recent results of random matrix theory. We extend our previous results to a more difficult situation where some spikes are equal, and compare our algorithm to an existing benchmark method.

Keywords: Spiked population model; High-dimensional covariance matrix; Random matrix theory; Tracy–Widom law (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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DOI: 10.1016/j.jmva.2014.02.017

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