Weak convergence of random functions defined by the eigenvectors of sample covariance matrices

DOI10.1214/AOP/1176990741zbMath0708.62051OpenAlexW2026458703MaRDI QIDQ920518

Jack W. Silverstein

Publication date: 1990

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176990741

zbMATH Keywords

Brownian bridgespectral decompositionHaar measurearray of i.i.d. random variableseigenvectors of sample covariance matrixlimiting behaviour of the eigenvectors

Mathematics Subject Classification ID

Multivariate analysis (62H99) Central limit and other weak theorems (60F05) Statistical distribution theory (62E99)

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