Testing the Sphericity of a covariance matrix when the dimension is much larger than the sample size

This paper focuses on the prominent sphericity test when the dimension $p$ is much lager than sample size $n$. The classical likelihood ratio test(LRT) is no longer applicable when $p\gg n$. Therefore a Quasi-LRT is proposed and asymptotic distribution of the test statistic under the null when $p/n\rightarrow\infty, n\rightarrow\infty$ is well established in this paper. Meanwhile, John's test has been found to possess the powerful {\it dimension-proof} property, which keeps exactly the same limiting distribution under the null with any $(n,p)$-asymptotic, i.e. $p/n\rightarrow[0,\infty]$, $n\rightarrow\infty$. All asymptotic results are derived for general population with finite fourth order moment. Numerical experiments are implemented for comparison

Restricted Flows and the Soliton Equation with Self-Consistent Sources

The KdV equation is used as an example to illustrate the relation between the restricted flows and the soliton equation with self-consistent sources. Inspired by the results on the Backlund transformation for the restricted flows (by V.B. Kuznetsov et al.), we constructed two types of Darboux transformations for the KdV equation with self-consistent sources (KdVES). These Darboux transformations are used to get some explicit solutions of the KdVES, which include soliton, rational, positon, and negaton solutions.Comment: This is a contribution to the Vadim Kuznetsov Memorial Issue on Integrable Systems and Related Topics, published in SIGMA (Symmetry, Integrability and Geometry: Methods and Applications) at http://www.emis.de/journals/SIGMA

On singular value distribution of large dimensional auto-covariance matrices

Let $(\varepsilon_j)_{j\geq 0}$ be a sequence of independent $p-$dimensional random vectors and $\tau\geq1$ a given integer. From a sample $\varepsilon_1,\cdots,\varepsilon_{T+\tau-1},\varepsilon_{T+\tau}$ of the sequence, the so-called lag $-\tau$ auto-covariance matrix is $C_{\tau}=T^{-1}\sum_{j=1}^T\varepsilon_{\tau+j}\varepsilon_{j}^t$. When the dimension $p$ is large compared to the sample size $T$, this paper establishes the limit of the singular value distribution of $C_\tau$ assuming that $p$ and $T$ grow to infinity proportionally and the sequence satisfies a Lindeberg condition on fourth order moments. Compared to existing asymptotic results on sample covariance matrices developed in random matrix theory, the case of an auto-covariance matrix is much more involved due to the fact that the summands are dependent and the matrix $C_\tau$ is not symmetric. Several new techniques are introduced for the derivation of the main theorem

The generalized Kupershmidt deformation for constructing new integrable systems from integrable bi-Hamiltonian systems

Based on the Kupershmidt deformation for any integrable bi-Hamiltonian systems presented in [4], we propose the generalized Kupershmidt deformation to construct new systems from integrable bi-Hamiltonian systems, which provides a nonholonomic perturbation of the bi-Hamiltonian systems. The generalized Kupershmidt deformation is conjectured to preserve integrability. The conjecture is verified in a few representative cases: KdV equation, Boussinesq equation, Jaulent-Miodek equation and Camassa-Holm equation. For these specific cases, we present a general procedure to convert the generalized Kupershmidt deformation into the integrable Rosochatius deformation of soliton equation with self-consistent sources, then to transform it into a $t$-type bi-Hamiltonian system. By using this generalized Kupershmidt deformation some new integrable systems are derived. In fact, this generalized Kupershmidt deformation also provides a new method to construct the integrable Rosochatius deformation of soliton equation with self-consistent sources.Comment: 21 pages, to appear in Journal of Mathematical Physic