On the behaviour of the estimated fourth-order cumulants matrix of a high-dimensional gaussian white noise - Archive ouverte HAL Access content directly
Conference Papers Year : 2017

On the behaviour of the estimated fourth-order cumulants matrix of a high-dimensional gaussian white noise

Pierre Gouédard
  • Function : Author
  • PersonId : 857626
Philippe Loubaton

Abstract

This paper is devoted to the study of the traditional estima-tor of the fourth-order cumulants matrix of a high-dimensional multi-variate Gaussian white noise. If M represents the dimension of the noise and N the number of available observations, it is first established that this M 2 × M 2 matrix converges towards 0 in the spectral norm sens provided M 2 log N N → 0. The behaviour of the estimated fourth-order cu-mulants matrix is then evaluated in the asymptotic regime where M and N converge towards +∞ in such a way that M 2 N converges towards a constant. In this context, it is proved that the matrix does not converge towards 0 in the spectral norm sense, and that its empirical eigenvalue distribution converges towards a shifted Marcenko-Pastur distribution. It is finally claimed that the largest and the smallest eigenvalue of the cumulant matrix converges almost surely towards the rightend and the leftend points of the support of the Marcenko-Pastur distribution.
Fichier principal
Vignette du fichier
gouedard-loubaton-final.pdf (541.75 Ko) Télécharger le fichier
Origin : Files produced by the author(s)
Loading...

Dates and versions

hal-01616290 , version 1 (13-10-2017)

Identifiers

  • HAL Id : hal-01616290 , version 1

Cite

Pierre Gouédard, Philippe Loubaton. On the behaviour of the estimated fourth-order cumulants matrix of a high-dimensional gaussian white noise. LVA-ICA , Feb 2017, Grenoble, France. ⟨hal-01616290⟩
105 View
169 Download

Share

Gmail Facebook X LinkedIn More