Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
From MaRDI portal
Publication:688039
DOI10.1214/AOP/1176989118zbMath0779.60026OpenAlexW1981573335WikidataQ105584321 ScholiaQ105584321MaRDI QIDQ688039
Publication date: 19 January 1994
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176989118
Related Items (only showing first 100 items - show all)
Achieving the oracle property of OEM with nonconvex penalties ⋮ Computing the permanent modulo a prime power ⋮ On the interval of fluctuation of the singular values of random matrices ⋮ The smallest singular value of random rectangular matrices with no moment assumptions on entries ⋮ Uniform approximation of eigenvalues in Laguerre and Hermite 𝛽-ensembles by roots of orthogonal polynomials ⋮ Random weighted projections, random quadratic forms and random eigenvectors ⋮ Solving systems of phaseless equations via Kaczmarz methods: a proof of concept study ⋮ Selection of Variables in Multivariate Regression Models for Large Dimensions ⋮ A Randomized Sequential Procedure to Determine the Number of Factors ⋮ Almost all quantum channels are equidistant ⋮ Mesoscopic perturbations of large random matrices ⋮ Testing high-dimensional covariance matrices under the elliptical distribution and beyond ⋮ Statistical Inference for High-Dimensional Global Minimum Variance Portfolios ⋮ On the reduction criterion for random quantum states ⋮ Some strong convergence theorems for eigenvalues of general sample covariance matrices ⋮ High dimensional binary classification under label shift: phase transition and regularization ⋮ Adaptive Tests for Bandedness of High-dimensional Covariance Matrices ⋮ Matrix concentration inequalities and free probability ⋮ Universality for the Conjugate Gradient and MINRES Algorithms on Sample Covariance Matrices ⋮ Extreme eigenvalues of principal minors of random matrices with moment conditions ⋮ On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence ⋮ CORRELATION MATRIX OF EQUI-CORRELATED NORMAL POPULATION: FLUCTUATION OF THE LARGEST EIGENVALUE, SCALING OF THE BULK EIGENVALUES, AND STOCK MARKET ⋮ More limiting distributions for eigenvalues of Wigner matrices ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Universality of approximate message passing with semirandom matrices ⋮ Large deviations of extremal eigenvalues of sample covariance matrices ⋮ On singular values of large dimensional lag-\(\tau\) sample auto-correlation matrices ⋮ Finite rank perturbations of heavy-tailed Wigner matrices ⋮ On the eigenstructure of covariance matrices with divergent spikes ⋮ Random matrices, nonbacktracking walks, and orthogonal polynomials ⋮ The conjugate gradient algorithm on well-conditioned Wishart matrices is almost deterministic ⋮ Extreme singular values of inhomogeneous sparse random rectangular matrices ⋮ Universality and sharp matrix concentration inequalities ⋮ Spectrum of Markov Generators on Sparse Random Graphs ⋮ Quantitative estimates of the convergence of the empirical covariance matrix in log-concave ensembles ⋮ A high-dimensional test for the equality of the smallest eigenvalues of a covariance matrix ⋮ Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems ⋮ Eigenvalues of large sample covariance matrices of spiked population models ⋮ On empirical distribution function of high-dimensional Gaussian vector components with an application to multiple testing ⋮ Asymptotic bias of the \(\ell_2\)-regularized error variance estimator ⋮ Convergence rates of spectral distributions of large dimensional quaternion sample covariance matrices ⋮ On the limit of extreme eigenvalues of large dimensional random quaternion matrices ⋮ The smallest singular value anomaly: the reasons behind sharp anomaly ⋮ Optimal Shrinkage-Based Portfolio Selection in High Dimensions ⋮ High-dimensional covariance matrix estimation ⋮ Asymptotic geometric analysis: achievements and perspective ⋮ A stochastic perturbation analysis of the QR decomposition and its applications ⋮ Large sample correlation matrices with unbounded spectrum ⋮ Cryptanalysis of EagleSign ⋮ Principles for initialization and architecture selection in graph neural networks with ReLU activations ⋮ Bandwidth selection for large covariance and precision matrices ⋮ Concentration Inequalities for Statistical Inference ⋮ Discriminant Analysis of Time Series in the Presence of Within-Group Spectral Variability ⋮ Unnamed Item ⋮ Outlier Eigenvalues for Deformed I.I.D. Random Matrices ⋮ Smallest singular value of a random rectangular matrix ⋮ Asymptotic probabilities of misclassification of two discriminant functions in cases of high dimensional data ⋮ Sampling convex bodies: a random matrix approach ⋮ Sure Independence Screening for Ultrahigh Dimensional Feature Space ⋮ Large-deviation asymptotics of condition numbers of random matrices ⋮ A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population ⋮ On the perceptron learning algorithm on data with high precision ⋮ Coverings of random ellipsoids, and invertibility of matrices with i.i.d. heavy-tailed entries ⋮ CLT for linear spectral statistics of large-dimensional sample covariance matrices. ⋮ The asymptotic distributions of the largest entries of sample correlation matrices. ⋮ Goodness-of-fit test for latent block models ⋮ Adaptive estimation in multivariate response regression with hidden variables ⋮ Asymptotics for high dimensional regression \(M\)-estimates: fixed design results ⋮ More powerful tests for sparse high-dimensional covariances matrices ⋮ Nonparametric eigenvalue-regularized precision or covariance matrix estimator ⋮ Non-asymptotic properties of spectral decomposition of large Gram-type matrices and applications ⋮ On asymptotics of eigenvectors of large sample covariance matrix ⋮ Beyond universality in random matrix theory ⋮ Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices ⋮ The relative effects of dimensionality and multiplicity of hypotheses on the \(F\)-test in linear regression ⋮ The Dirichlet Markov ensemble ⋮ Ridge regression revisited: debiasing, thresholding and bootstrap ⋮ Circular law ⋮ Consistency of AIC and BIC in estimating the number of significant components in high-dimensional principal component analysis ⋮ The lower tail of random quadratic forms with applications to ordinary least squares ⋮ Recent developments in high dimensional covariance estimation and its related issues, a review ⋮ Trace regression model with simultaneously low rank and row(column) sparse parameter ⋮ Power computation for hypothesis testing with high-dimensional covariance matrices ⋮ Random points in the unit ball of \(\ell^{ n }_{ p }\) ⋮ Kernel estimators for Marčenko-Pastur law of quaternion sample covariance matrices ⋮ Covariance estimation for distributions with \({2+\varepsilon}\) moments ⋮ Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ Ridge-type linear shrinkage estimation of the mean matrix of a high-dimensional normal distribution ⋮ On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence ⋮ Generalized \(F\) test for high dimensional linear regression coefficients ⋮ Estimation of the population spectral distribution from a large dimensional sample covariance matrix ⋮ Circular law for noncentral random matrices ⋮ Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero ⋮ Central limit theorem for linear spectral statistics of large dimensional separable sample covariance matrices ⋮ The spectral edge of some random band matrices ⋮ On the border of extreme and mild spiked models in the HDLSS framework ⋮ Asymptotic distribution of the LR statistic for equality of the smallest eigenvalues in high-dimensional principal component analysis ⋮ Sharp bounds on the rate of convergence of the empirical covariance matrix ⋮ On generic chaining and the smallest singular value of random matrices with heavy tails ⋮ Improved Stein-type shrinkage estimators for the high-dimensional multivariate normal covariance matrix
This page was built for publication: Limit of the smallest eigenvalue of a large dimensional sample covariance matrix