Tracy-Widom Distribution for Heterogeneous Gram Matrices With Applications in Signal Detection
Tracy-Widom Distribution for Heterogeneous Gram Matrices With Applications in Signal Detection
Detection of the number of signals corrupted by high-dimensional noise is a fundamental problem in signal processing and statistics. This paper focuses on a general setting where the high-dimensional noise has an unknown complicated heterogeneous variance structure. We propose a sequential test which utilizes the edge singular values (i.e., the …