Detection of weak signals in high-dimensional complex-valued data

2012/07/30 by Onatski, Alexei
#FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1207.7098

Abstract

This paper considers the problem of detecting a few signals in high-dimensional complex-valued Gaussian data satisfying Johnstone's (2001) spiked covariance model. We focus on the difficult case where signals are weak in the sense that the sizes of the corresponding covariance spikes are below the phase transition threshold studied in Baik et al (2005). We derive a simple analytical expression for the maximal possible asymptotic probability of correct detection holding the asymptotic probability of false detection fixed. To accomplish this derivation, we establish what we believe to be a new formula for the % Harish-Chandra/Itzykson-Zuber (HCIZ) integral ∫_U(p)e^\tr(AGBG^-1)dG , where A has a deficient rank r

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