Convergence of sample eigenvectors of spiked population model

DOI10.1080/03610926.2013.833240MaRDI QIDQ3458125zbMATH OpenOpenAlexFDO

Authors Xue Ding

Publication date 8 December 2015

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.833240

zbMATH Keywords

sample covariance matricessample eigenvectorsspiked population model

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Recommendations

• Eigenvalues of large sample covariance matrices of spiked population models
• Central limit theorems for eigenvalues in a spiked population model
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• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
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Cites work

• Central limit theorems for eigenvalues in a spiked population model
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Convergence and prediction of principal component scores in high-dimensional settings
• Eigenvalues of large sample covariance matrices of spiked population models
• Estimation of spiked eigenvalues in spiked models
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On sample eigenvalues in a generalized spiked population model
• On the distribution of the largest eigenvalue in principal components analysis
• Penalized discriminant analysis
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Shape fluctuations and random matrices
• Spectral analysis of large dimensional random matrices

Cited in

(9)

• Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model
• Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
• On the principal components of sample covariance matrices
• Estimation of spiked eigenvalues in spiked models
• The conjugate gradient algorithm on a general class of spiked covariance matrices
• Asymptotics of sample eigenstructure for a large dimensional spiked covariance model
• Spiked sample covariance matrices with possibly multiple bulk components
• Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes
• On sample eigenvalues in a generalized spiked population model

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