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dc.rights.licenseopenen_US
hal.structure.identifierLaboratoire de l'intégration, du matériau au système [IMS]
dc.contributor.authorBEISSON, Remi
hal.structure.identifierLaboratoire de l'intégration, du matériau au système [IMS]
dc.contributor.authorVALLET, Pascal
hal.structure.identifierLaboratoire de l'intégration, du matériau au système [IMS]
dc.contributor.authorGIREMUS, Audrey
IDREF: 163238766
dc.contributor.authorGINOLHAC, G.
dc.date.accessioned2023-12-20T09:14:45Z
dc.date.available2023-12-20T09:14:45Z
dc.date.issued2021-07-11
dc.date.conference2021-07-11
dc.identifier.urioai:crossref.org:10.1109/ssp49050.2021.9513795
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/186747
dc.description.abstractEnThis paper is devoted to the problem of testing equality between the covariance matrices of L multivariate Gaussian time series with dimension M, in the context where each of the L covariance matrices is the sum of a low-rank K component and the identity matrix. Assuming N 1 , …, N L samples are available for each time series, a new test statistic, based on the eigenvalues of the L sample covariance matrices (SCM) of each time series as well as the eigenvalues of a pooled SCM mixing the N 1 +…+N L available samples, is pro-posed and proved to be consistent in the high dimensional regime in which M, N 1 , …, N L converge to infinity at the same rate, while K and L are kept fixed. Numerical simulations show that the proposed test statistic is competitive with other relevant methods for moderate values of M, N 1 , …, N L .
dc.language.isoENen_US
dc.publisherIEEEen_US
dc.sourcecrossref
dc.subject.enChange detection
dc.subject.enCovariance
dc.subject.enSpiked models
dc.subject.enRandom matrix theory
dc.title.enChange Detection in The Covariance Structure of High-Dimensional Gaussian Low-Rank Models
dc.typeCommunication dans un congrèsen_US
dc.identifier.doi10.1109/ssp49050.2021.9513795en_US
dc.subject.halSciences de l'ingénieur [physics]/Traitement du signal et de l'imageen_US
bordeaux.hal.laboratoriesIMS : Laboratoire de l'Intégration du Matériau au Système - UMR 5218en_US
bordeaux.institutionUniversité de Bordeauxen_US
bordeaux.institutionBordeaux INPen_US
bordeaux.institutionCNRSen_US
bordeaux.conference.title2021 IEEE Statistical Signal Processing Workshop (SSP)en_US
bordeaux.countrybren_US
bordeaux.conference.cityRio de Janeiroen_US
bordeaux.import.sourcedissemin
hal.invitedouien_US
hal.proceedingsouien_US
hal.conference.end2021-07-14
hal.popularnonen_US
hal.audienceInternationaleen_US
hal.exportfalse
workflow.import.sourcedissemin
dc.rights.ccPas de Licence CCen_US
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.date=2021-07-11&rft.au=BEISSON,%20Remi&VALLET,%20Pascal&GIREMUS,%20Audrey&GINOLHAC,%20G.&rft.genre=unknown


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