Scaled largest eigenvalue detection for stationary time-series

This paper studies the performance of the scaled largest eigenvalue (SLE) detector used for the detection of stationary time-series. We focus on a single-antenna setup and a blind detection scenario (neither the signal covariance, nor the noise variance are known). The SLE detector has received much attention in the context of cognitive radios (CR) due to its simplicity, good performance and robustness to noise level uncertainties. Specifically, our goal is to analyze the detector based on the statistic Γ = λ1∑i=1 p λi, where λ1 ≥ λ2 ≥ ⋯ ≥ λp represent the ordered eigenvalues of the sample covariance matrix. We derive a large-sample-size closed-form approximation for the test statistic which allows us to derive its statistical distribution and set up the detector to achieve the required probability of false-alarm (Pfa) and probability of detection (Pd). We also study the robustness of the detector in the presence of noise uncertainty and impulsive-noise and investigate the benefits of the spatial sign filter for such scenarios.SCOPUS: ar.jinfo:eu-repo/semantics/publishe

Extreme eigenvalues of sample covariance matrices under generalized elliptical models with applications

We consider the extreme eigenvalues of the sample covariance matrix $Q=YY^*$ under the generalized elliptical model that $Y=\Sigma^{1/2}XD.$ Here $\Sigma$ is a bounded $p \times p$ positive definite deterministic matrix representing the population covariance structure, $X$ is a $p \times n$ random matrix containing either independent columns sampled from the unit sphere in $\mathbb{R}^p$ or i.i.d. centered entries with variance $n^{-1},$ and $D$ is a diagonal random matrix containing i.i.d. entries and independent of $X.$ Such a model finds important applications in statistics and machine learning. In this paper, assuming that $p$ and $n$ are comparably large, we prove that the extreme edge eigenvalues of $Q$ can have several types of distributions depending on $\Sigma$ and $D$ asymptotically. These distributions include: Gumbel, Fr\'echet, Weibull, Tracy-Widom, Gaussian and their mixtures. On the one hand, when the random variables in $D$ have unbounded support, the edge eigenvalues of $Q$ can have either Gumbel or Fr\'echet distribution depending on the tail decay property of $D.$ On the other hand, when the random variables in $D$ have bounded support, under some mild regularity assumptions on $\Sigma,$ the edge eigenvalues of $Q$ can exhibit Weibull, Tracy-Widom, Gaussian or their mixtures. Based on our theoretical results, we consider two important applications. First, we propose some statistics and procedure to detect and estimate the possible spikes for elliptically distributed data. Second, in the context of a factor model, by using the multiplier bootstrap procedure via selecting the weights in $D,$ we propose a new algorithm to infer and estimate the number of factors in the factor model. Numerical simulations also confirm the accuracy and powerfulness of our proposed methods and illustrate better performance compared to some existing methods in the literature.Comment: 90 pages, 6 figures, some typos are correcte