The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case
From MaRDI portal
Publication:3069151
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
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
Related Items
Gaussian determinantal processes: A new model for directionality in data, Large-dimensional random matrix theory and its applications in deep learning and wireless communications, On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence, Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations, The Tracy-Widom law for the largest eigenvalue of F type matrices, Limits of spiked random matrices. I, Asymptotic power of sphericity tests for high-dimensional data, Optimal detection of sparse principal components in high dimension, The spectral edge of some random band matrices, Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case, Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors, Universality for the largest eigenvalue of sample covariance matrices with general population, Central limit theorems for eigenvalues of deformations of Wigner matrices, Signal detection in high dimension: the multispiked case, Random matrix theory in statistics: a review, Rank 1 real Wishart spiked model
Cites Work
- Central limit theorems for eigenvalues in a spiked population model
- Characteristic vectors of bordered matrices with infinite dimensions
- Universality results for the largest eigenvalues of some sample covariance matrix ensembles
- On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
- A refinement of Wigner's semicircle law in a neighborhood of the spectrum edge for random symmetric matrices
- Level-spacing distributions and the Airy kernel
- A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
- Universality at the edge of the spectrum in Wigner random matrices.
- On the distribution of the largest eigenvalue in principal components analysis
- On orthogonal and symplectic matrix ensembles
- Shape fluctuations and random matrices
- The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
- The largest eigenvalue of rank one deformation of large Wigner matrices
- Wigner random matrices with non-symmetrically distributed entries
- Painlevé formulas of the limiting distributions for nonnull complex sample covariance matrices
- Eigenvalues of large sample covariance matrices of spiked population models
- Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
- On the top eigenvalue of heavy-tailed random matrices
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES