Comments on a result of Yin, Bai, and Krishnaiah for large dimensional multivariate F matrices (Q760112): Difference between revisions
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Latest revision as of 10:21, 30 July 2024
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| English | Comments on a result of Yin, Bai, and Krishnaiah for large dimensional multivariate F matrices |
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Comments on a result of Yin, Bai, and Krishnaiah for large dimensional multivariate F matrices (English)
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1984
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A theorem in \textit{Y. Q. Yin}, \textit{Z. D. Bai}, and \textit{P. R. Krishnaiah}, ibid. 13, 508-516 (1983; Zbl 0531.62018), shows that the smallest eigenvalue of a class of large dimensional sample covariance matrices stays almost surely bounded away from zero. The theorem assumes a certain restriction on the class of matrices. With slight modifications of the proof in op cit, it is shown here that the theorem is true for all relevant matrices.
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smallest eigenvalue
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large dimensional sample covariance matrices
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