A tracy-widom empirical estimator for valid p-values with high-dimensional datasets

HIGHLIGHTS

• who: Aurélie Labbe et al. from the McGill University have published the Article: A Tracy-Widom Empirical Estimator For Valid P-values With High-Dimensional Datasets, in the Journal: (JOURNAL) of November/20,/2018
• what: Through simulations the authors show that this estimated distribution also leads to valid p-values that can be used for high-dimensional inference. The authors provide a fast computational approach for estimating the null distribution of the first canonical correlation in such high dimensional setting. By a theorem of Johnstone , this family of distributions is known to provide an . . .
  

   

  

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