Eigenvectors of some large sample covariance matrix ensembles

DOI10.1007/s00440-010-0298-3zbMath1229.60009arXiv0911.3010OpenAlexW3121682558MaRDI QIDQ644783

Sandrine Péché, Olivier Ledoit

Publication date: 7 November 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3010

zbMATH Keywords

Stieltjes transformasymptotic distributionprincipal component analysisshrinkage estimatorrandom matrix theorybias correctionsample covariance matrixeigenvectors and eigenvalues

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

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