On the limit of the largest eigenvalue of the large dimensional sample covariance matrix (Q1092547): Difference between revisions

In this paper the authors showed that the largest eigenvalue of the sample covariance matrix tends to a limit under certain conditions when both the number of variables and the sample size tend to infinity. The above result is proved under the mild restriction that the fourth moments of the elements of the sample sums of squares and cross products (SP) matrix exist.