Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices

DOI10.1006/JMVA.1993.1084zbMath0790.62055OpenAlexW1995201905MaRDI QIDQ1321987

Heinz Neudecker, Tõnu Kollo

Publication date: 28 June 1994

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1993.1084

zbMATH Keywords

eigenvaluesHadamard productKronecker productcorrelation matricesnonsingularcommutation matrixfourth-order momentselliptical populationsmatrix differential calculusvec operatorasymptotic variance matricesunit-length eigenvectors

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Theory of matrix inversion and generalized inverses (15A09) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Multilinear algebra, tensor calculus (15A69)

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