Eigenvalues of large sample covariance matrices of spiked population models

DOI10.1016/j.jmva.2005.08.003zbMath1220.15011arXivmath/0408165MaRDI QIDQ2507762

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

eigenvalues; sample covariance matrices; almost sure limits; spiked population models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H99: Multivariate analysis

15A18: Eigenvalues, singular values, and eigenvectors

15B52: Random matrices (algebraic aspects)

60F17: Functional limit theorems; invariance principles

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