On the limit of the largest eigenvalue of the large dimensional sample covariance matrix (Q1092547): Difference between revisions
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Revision as of 16:04, 10 February 2024
scientific article
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| English | On the limit of the largest eigenvalue of the large dimensional sample covariance matrix |
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On the limit of the largest eigenvalue of the large dimensional sample covariance matrix (English)
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1988
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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.
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largest eigenvalue of the sample covariance matrix
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fourth moment
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sample sums of squares
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cross products
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large-dimensional random matrices
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