ON DETERMINING THE NUMBER OF SPIKES IN A HIGH-DIMENSIONAL SPIKED POPULATION MODEL

DOI10.1142/S201032631150002XzbMath1244.62028arXiv1104.2677MaRDI QIDQ2893152

Damien Passemier, Jian-feng Yao

Publication date: 26 June 2012

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1104.2677

zbMATH Keywords

extreme eigenvaluesfactor modelhigh-dimensional statisticstracy-widom lawssample covariance matrices

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18)

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Cites Work

• Central limit theorems for eigenvalues in a spiked population model
• On the distribution of the largest eigenvalue in principal components analysis
• Eigenvalues of large sample covariance matrices of spiked population models

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