Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models

DOI10.5705/SS.202019.0052zbMath1469.62267arXiv1810.10214OpenAlexW3024509615MaRDI QIDQ5004034

Iain M. Johnstone, Jeha Yang, David Morales-Jimenez, Matthew R. McKay

Publication date: 30 July 2021

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.10214

zbMATH Keywords

eigenstructurespiked modelssample correlation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Random matrices (probabilistic aspects) (60B20)

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Statistical inference for principal components of spiked covariance matrices ⋮ CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions ⋮ Principal Eigenportfolios for U.S. Equities ⋮ The volume of random simplices from elliptical distributions in high dimension ⋮ Robust PCA for high‐dimensional data based on characteristic transformation ⋮ On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence ⋮ Spiked multiplicative random matrices and principal components ⋮ Central limit theorem of linear spectral statistics of high-dimensional sample correlation matrices ⋮ Log determinant of large correlation matrices under infinite fourth moment ⋮ Large sample correlation matrices with unbounded spectrum ⋮ On eigenvalues of a high-dimensional spatial-sign covariance matrix ⋮ Properties of eigenvalues and eigenvectors of large-dimensional sample correlation matrices ⋮ A Dichotomous Behavior of Guttman-Kaiser Criterion from Equi-Correlated Normal Population

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