Classical large-sample consistency conjecture for the proposed signal-count estimator

Let R{\bf R} be an n×nn\times n covariance matrix satisfying the hypothesis of the paper's spiked-convergence proposition, and let R^\widehat{{\bf R}} be a sample covariance matrix formed from mm snapshots. Write k^\widehat{k} for the estimate of the number of signals obtained from the proposed estimator.

Classical consistency conjecture. With nn fixed and mm\to\infty, k^\widehat{k} is a consistent estimator of the true number of signals kk.

This is the classical large-sample regime, in which consistency is proposed as a theoretical justification for the estimator. The paper presents the claim as conjectural and does not provide a proof in the supplied text.

Sources & referencesView supporting material

Primary source

N. Raj Rao and Alan Edelman, “Sample eigenvalue based detection of high dimensional signals in white noise using relatively few samples”, arXiv:0705.2605 (2007).

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