The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case

DOI10.1063/1.3155785zbMath1342.62100arXiv0812.2320MaRDI QIDQ3069151

Delphine Féral, Sandrine Péché

Publication date: 24 January 2011

Published in: Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.2320

zbMATH Keywords

fluctuations; eigenvalues and eigenfunctions; covariance matrices

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

05C80: Random graphs (graph-theoretic aspects)

05C50: Graphs and linear algebra (matrices, eigenvalues, etc.)

15A18: Eigenvalues, singular values, and eigenvectors

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