Asymptotics of empirical eigenstructure for high dimensional spiked covariance (Q2012938)

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance
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    Asymptotics of empirical eigenstructure for high dimensional spiked covariance (English)
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    3 August 2017
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    asymptotic distributions
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    principal component analysis
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    diverging eigenvalues
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    approximate factor model
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    relative risk management
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    false discovery proportion
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