sample covariance
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Author(s):  
G. L. Zitelli

AbstractWe prove the existence of joint limiting spectral distributions for families of random sample covariance matrices modeled on fluctuations of discretized Lévy processes. These models were first considered in applications of random matrix theory to financial data, where datasets exhibit both strong multicollinearity and non-normality. When the underlying Lévy process is non-Gaussian, we show that the limiting spectral distributions are distinct from Marčenko–Pastur. In the context of operator-valued free probability, it is shown that the algebras generated by these families are asymptotically free with amalgamation over the diagonal subalgebra. This framework is used to construct operator-valued $$^*$$ ∗ -probability spaces, where the limits of sample covariance matrices play the role of non-commutative Lévy processes whose increments are free with amalgamation.


Author(s):  
S. Gouyou Beauchamps ◽  
F. Lacasa ◽  
I. Tutusaus ◽  
M. Aubert ◽  
P. Baratta ◽  
...  

Author(s):  
Fan-Xu Meng ◽  
Ze-Tong Li ◽  
Xutao Yu ◽  
Zaichen Zhang

Abstract The multiple signal classification (MUSIC) algorithm is a well-established method to evaluate the direction of arrival (DOA) of signals. However, the construction and eigen-decomposition of the sample covariance matrix (SCM) are computationally costly for MUSIC in hybrid multiple input multiple output (MIMO) systems, which limits the application and advancement of the algorithm. In this paper, we present a novel quantum method for MUSIC in hybrid MIMO systems. Our scheme makes the following three contributions. First, the quantum subroutine for constructing the approximate SCM is designed, along with the quantum circuit for the steering vector and a proposal for quantum singular vector transformation. Second, the variational density matrix eigensolver is proposed to determine the signal and noise subspaces utilizing the destructive swap test. As a proof of principle, we conduct two numerical experiments using a quantum simulator. Finally, the quantum labelling procedure is explored to determine the DOA. The proposed quantum method can potentially achieve exponential speedup on certain parameters and polynomial speedup on others under specific moderate circumstances, compared with their classical counterparts.


Author(s):  
Yanqing Yin

The aim of this paper is to investigate the spectral properties of sample covariance matrices under a more general population. We consider a class of matrices of the form [Formula: see text], where [Formula: see text] is a [Formula: see text] nonrandom matrix and [Formula: see text] is an [Formula: see text] matrix consisting of i.i.d standard complex entries. [Formula: see text] as [Formula: see text] while [Formula: see text] can be arbitrary but no smaller than [Formula: see text]. We first prove that under some mild assumptions, with probability 1, for all large [Formula: see text], there will be no eigenvalues in any closed interval contained in an open interval which is outside the supports of the limiting distributions for all sufficiently large [Formula: see text]. Then we get the strong convergence result for the extreme eigenvalues as an extension of Bai-Yin law.


Sensors ◽  
2021 ◽  
Vol 21 (23) ◽  
pp. 7783
Author(s):  
Yanliang Duan ◽  
Xinhua Yu ◽  
Lirong Mei ◽  
Weiping Cao

Adaptive beamforming is sensitive to steering vector (SV) and covariance matrix mismatches, especially when the signal of interest (SOI) component exists in the training sequence. In this paper, we present a low-complexity robust adaptive beamforming (RAB) method based on an interference–noise covariance matrix (INCM) reconstruction and SOI SV estimation. First, the proposed method employs the minimum mean square error criterion to construct the blocking matrix. Then, the projection matrix is obtained by projecting the blocking matrix onto the signal subspace of the sample covariance matrix (SCM). The INCM is reconstructed by replacing part of the eigenvector columns of the SCM with the corresponding eigenvectors of the projection matrix. On the other hand, the SOI SV is estimated via the iterative mismatch approximation method. The proposed method only needs to know the priori-knowledge of the array geometry and angular region where the SOI is located. The simulation results showed that the proposed method can deal with multiple types of mismatches, while taking into account both low complexity and high robustness.


2021 ◽  
Vol 80 (1) ◽  
pp. 99-155
Author(s):  
Xiucai Ding ◽  
Thomas Trogdon

We consider the conjugate gradient algorithm applied to a general class of spiked sample covariance matrices. The main result of the paper is that the norms of the error and residual vectors at any finite step concentrate on deterministic values determined by orthogonal polynomials with respect to a deformed Marchenko–Pastur law. The first-order limits and fluctuations are shown to be universal. Additionally, for the case where the bulk eigenvalues lie in a single interval we show a stronger universality result in that the asymptotic rate of convergence of the conjugate gradient algorithm only depends on the support of the bulk, provided the spikes are well-separated from the bulk. In particular, this shows that the classical condition number bound for the conjugate gradient algorithm is pessimistic for spiked matrices.


Author(s):  
Alicja Dembczak-Kołodziejczyk ◽  
Anna Lytova

Given [Formula: see text], we study two classes of large random matrices of the form [Formula: see text] where for every [Formula: see text], [Formula: see text] are iid copies of a random variable [Formula: see text], [Formula: see text], [Formula: see text] are two (not necessarily independent) sets of independent random vectors having different covariance matrices and generating well concentrated bilinear forms. We consider two main asymptotic regimes as [Formula: see text]: a standard one, where [Formula: see text], and a slightly modified one, where [Formula: see text] and [Formula: see text] while [Formula: see text] for some [Formula: see text]. Assuming that vectors [Formula: see text] and [Formula: see text] are normalized and isotropic “in average”, we prove the convergence in probability of the empirical spectral distributions of [Formula: see text] and [Formula: see text] to a version of the Marchenko–Pastur law and the so-called effective medium spectral distribution, correspondingly. In particular, choosing normalized Rademacher random variables as [Formula: see text], in the modified regime one can get a shifted semicircle and semicircle laws. We also apply our results to the certain classes of matrices having block structures, which were studied in [G. M. Cicuta, J. Krausser, R. Milkus and A. Zaccone, Unifying model for random matrix theory in arbitrary space dimensions, Phys. Rev. E 97(3) (2018) 032113, MR3789138; M. Pernici and G. M. Cicuta, Proof of a conjecture on the infinite dimension limit of a unifying model for random matrix theory, J. Stat. Phys. 175(2) (2019) 384–401, MR3968860].


2021 ◽  
Author(s):  
Mingchuan Yang ◽  
Xinye Shao ◽  
Guanchang Xue ◽  
Bingyu Xie

AbstractIn order to deal with the difficulty of spectrum sensing in cognitive satellite wireless networks, a large-scale cognitive network spectrum sensing algorithm based on big data analysis theory is studied, and a new algorithm using mean exponential eigenvalue is proposed. This new approach fully uses all the eigenvalues in sample covariance matrix of the sensing results to make the decision, which can effectively improve the detection performance without obtaining the prior information from licensed users. Through simulation, the performance of various large scale cognitive radio spectrum sensing algorithms based on big data analysis theory is compared, and the influence of satellite to ground channel conditions and the number of sensing nodes on the performance of the algorithm is discussed.


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