On the principal components of sample covariance matrices

DOI10.1007/s00440-015-0616-xzbMath1339.15023arXiv1404.0788OpenAlexW2963975913MaRDI QIDQ2634905

Alex Bloemendal, Antti Knowles, Jun Yin, Horng-Tzer Yau

Publication date: 10 February 2016

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.0788

zbMATH Keywords

spikesuniversalityrandom matrixprincipal componentscovariance matricesquantum unique ergodicitylevel repulsionoutlier and non-outlier eigenvectors

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random matrices (probabilistic aspects) (60B20) Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics (82B44) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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