Detection problems in the spiked matrix models

• URL: http://arxiv.org/abs/2301.05331v1
• Date: Thu, 12 Jan 2023 23:46:41 GMT
• Title: Detection problems in the spiked matrix models
• Authors: Ji Hyung Jung, Hye Won Chung and Ji Oon Lee
• Abstract summary: We first show that the principal component analysis can be improved by entrywise pre-transforming the data matrix if the noise is non-Gaussian. We also introduce an algorithm that estimates the rank of the signal when it is not known a priori.
• Score: 15.125686694430573
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: We study the statistical decision process of detecting the low-rank signal from various signal-plus-noise type data matrices, known as the spiked random matrix models. We first show that the principal component analysis can be improved by entrywise pre-transforming the data matrix if the noise is non-Gaussian, generalizing the known results for the spiked random matrix models with rank-1 signals. As an intermediate step, we find out sharp phase transition thresholds for the extreme eigenvalues of spiked random matrices, which generalize the Baik-Ben Arous-P\'{e}ch\'{e} (BBP) transition. We also prove the central limit theorem for the linear spectral statistics for the spiked random matrices and propose a hypothesis test based on it, which does not depend on the distribution of the signal or the noise. When the noise is non-Gaussian noise, the test can be improved with an entrywise transformation to the data matrix with additive noise. We also introduce an algorithm that estimates the rank of the signal when it is not known a priori.

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