Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices (Q2091835)

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Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices

scientific article; zbMATH DE number 7610768

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English	Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices	scientific article; zbMATH DE number 7610768

Statements

instance of

scholarly article

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title

Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices (English)

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The Annals of Statistics

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publication date

2 November 2022

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full work available at URL

https://arxiv.org/abs/2009.11010

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zbMATH Keywords

central limit theorem

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leading spiked eigenvalues

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linear spectral statistics

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sample covariance matrix

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MaRDI profile type

MaRDI publication profile

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cites work

Estimation of spiked eigenvalues in spiked models

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Spectral analysis of large dimensional random matrices

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Central limit theorems for eigenvalues in a spiked population model

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On sample eigenvalues in a generalized spiked population model

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On asymptotics of eigenvectors of large sample covariance matrix

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No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices

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Exact separation of eigenvalues of large dimensional sample covariance matrices

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CLT for linear spectral statistics of large-dimensional sample covariance matrices.

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Ferromagnetic to paramagnetic transition in spherical spin glass

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Eigenvalues of large sample covariance matrices of spiked population models

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Q4836494

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Two-Sample Covariance Matrix Testing and Support Recovery in High-Dimensional and Sparse Settings

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Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices

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Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices

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Partial generalized four moment theorem revisited

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On the distribution of the largest eigenvalue in principal components analysis

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PCA consistency in high dimension, low sample size context

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Two sample tests for high-dimensional covariance matrices

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Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model

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Improved Estimation of Eigenvalues and Eigenvectors of Covariance Matrices Using Their Sample Estimates

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Gaussian fluctuations for linear spectral statistics of large random covariance matrices

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Comparison between two types of large sample covariance matrices

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Central limit theorem for signal-to-interference ratio of reduced rank linear receiver

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Asymptotics of sample eigenstructure for a large dimensional spiked covariance model

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Random matrix theory in statistics: a review

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Asymptotics of empirical eigenstructure for high dimensional spiked covariance

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Large sample covariance matrices and high-dimensional data analysis

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Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations

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Substitution principle for CLT of linear spectral statistics of high-dimensional sample covariance matrices with applications to hypothesis testing

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Identifiers

DOI

10.1214/22-AOS2183

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices