Exact separation of eigenvalues of large dimensional sample covariance matrices

DOI10.1214/AOP/1022677458zbMath0964.60041OpenAlexW1482572935MaRDI QIDQ1568298

Jack W. Silverstein, Zhi-Dong Bai

Publication date: 22 November 2000

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

Full work available at URL: https://doi.org/10.1214/aop/1022677458

zbMATH Keywords

eigenvaluesrandom matricesWishart ensemble

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Limit theorems in probability theory (60F99)

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Cites Work

• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Matrix Analysis
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Maximum Properties and Inequalities for the Eigenvalues of Completely Continuous Operators

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