Name
Title | ||
|---|---|---|
High-dimensional asymptotic behavior of the difference between the log-determinants of two Wishart matrices. |
Abstract | ||
|---|---|---|
In this paper, we evaluate the asymptotic behavior of the difference between the log-determinants of two random matrices distributed according to the Wishart distribution by using a high-dimensional asymptotic framework in which the size of the matrices and the degrees of freedom both approach infinity simultaneously. We consider two cases, depending whether a matrix is completely or partially included in another matrix. From the asymptotic behavior, we derive the condition needed to ensure consistency for a given log-likelihood-based information criterion for selecting variables in a canonical correlation analysis. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1016/j.jmva.2017.03.002 | J. Multivariate Analysis |
Keywords | Field | DocType |
62E20,62H10 | Matrix (mathematics),Canonical correlation,Infinity,Asymptotic analysis,Model selection,Statistics,Wishart distribution,Asymptotic analysis,Mathematics,Random matrix | Journal |
Volume | Issue | ISSN |
157 | C | 0047-259X |
Citations | PageRank | References |
0 | 0.34 | 1 |
Authors | ||
4 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Hirokazu Yanagihara | 1 | 21 | 8.66 |
| Ryoya Oda | 2 | 0 | 0.34 |
| Yusuke Hashiyama | 3 | 0 | 0.34 |
| Yasunori Fujikoshi | 4 | 12 | 5.52 |