NDLI: Correlation test for high dimensional data with application to signal detection in sensor networks

Content Provider	IEEE Xplore Digital Library
Author	Mestre, X. Vallet, P. Hachem, W.
Copyright Year	2014
Description	Author affiliation: Telecom ParisTech, Paris, France (Hachem, W.) \|\| Centre Tecnol. de Telecomunicacions de Catalunya, Castelldefels, Spain (Mestre, X.) \|\| Inst. Polytech. de Bordeaux (ENSEIRB-MATMECA), Bordeaux, France (Vallet, P.)
Abstract	The problem of correlation detection of multivariate Gaussian observations is considered. The problem is formulated as a binary hypothesis test, where the null hypothesis corresponds to a diagonal correlation matrix with possibly different diagonal entries, whereas the alternative would be associated to any other form of positive covariance. Using tools from random matrix theory, we study the asymptotic behavior of the Generalized Likelihood Ratio Test (GLRT) under both hypothesis, assuming that both the sample size and the observation dimension tend to infinity at the same rate. It is shown that the GLRT statistic always converges to a Gaussian distribution, although the asymptotic mean and variance will strongly depend the actual hypothesis. Numerical simulations demonstrate the superiority of the proposed asymptotic description in situations where the sample size is not much larger than the observation dimension.
Starting Page	2165
Ending Page	2169
File Size	477867
Page Count	5
File Format	PDF
ISBN	9780992862619
ISSN	20761465
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2014-09-01
Publisher Place	Portugal
Access Restriction	Subscribed
Rights Holder	EURASIP
Subject Keyword	Hypothesis testing Correlation Central limit theorem Random matrix theory Correlation matrix Eigenvalues and eigenfunctions Vectors Random variables Approximation methods Covariance matrices Convergence
Content Type	Text
Resource Type	Article

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4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
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