Rank 1 real Wishart spiked model

DOI10.1002/cpa.21415zbMath1257.15020arXiv1101.5144MaRDI QIDQ3165463

Man Yue Mo

Publication date: 26 October 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5144

zbMATH Keywords

asymptotic behavior; principal component analysis; eigenvalue distribution; phase transition; covariance matrix; Wishart matrix; Marchenko-Pastur law; largest value distribution

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

60B20: Random matrices (probabilistic aspects)

15A18: Eigenvalues, singular values, and eigenvectors

82B26: Phase transitions (general) in equilibrium statistical mechanics

15B52: Random matrices (algebraic aspects)

62J10: Analysis of variance and covariance (ANOVA)

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