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11/15/2021
Properties of linear spectral statistics of frequency-smoothed estimated spectral coherence matrix of high-dimensional Gaussian time series
The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoo...
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10/22/2021
On the largest singular values of certain large random matrices with application to the estimation of the minimal dimension of the state-space representations of high-dimension
This paper is devoted to the estimation of the minimal dimension P of th...
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06/24/2021
On the detection of low-rank signal in the presence of spatially uncorrelated noise: a frequency domain approach
This paper analyzes the detection of a M-dimensional useful signal model...
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06/24/2021
On the asymptotic distribution of the maximum sample spectral coherence of Gaussian time series in the high dimensional regime
We investigate the asymptotic distribution of the maximum of a frequency...
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07/17/2020
Large random matrix approach for testing independence of a large number of Gaussian time series
The asymptotic behaviour of Linear Spectral Statistics (LSS) of the smoo...
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04/13/2018