Central limit theorems for eigenvalues in a spiked population model

DOI10.1214/07-AIHP118zbMath1274.62129arXiv0806.2503OpenAlexW3098139351MaRDI QIDQ731681

Zhi-Dong Bai, Jian-feng Yao

Publication date: 8 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2503

zbMATH Keywords

largest eigenvaluecentral limit theoremsextreme eigenvaluesspiked population modelsample covariance matricesrandom quadratic formsrandom sesquilinear forms

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20)

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