A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices (Q1397374)
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scientific article; zbMATH DE number 1960200
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| English | A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices |
scientific article; zbMATH DE number 1960200 |
Statements
A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices (English)
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6 August 2003
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sample covariance matrices
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principal components
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Tracy-Widom distribution
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0.883607029914856
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0.8771957755088806
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0.8663878440856934
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0.8595396876335144
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0.859428882598877
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