Eigenvalues of large sample covariance matrices of spiked population models

DOI10.1016/J.JMVA.2005.08.003zbMath1220.15011arXivmath/0408165OpenAlexW2106084579MaRDI QIDQ2507762

Jinho Baik, Jack W. Silverstein

Publication date: 5 October 2006

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

Full work available at URL: https://arxiv.org/abs/math/0408165

zbMATH Keywords

eigenvaluessample covariance matricesalmost sure limitsspiked population models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Multivariate analysis (62H99) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17)

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