Convergence of eigenvector empirical spectral distribution of sample covariance matrices (Q2196201)

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Convergence of eigenvector empirical spectral distribution of sample covariance matrices

scientific article; zbMATH DE number 7241576

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English	Convergence of eigenvector empirical spectral distribution of sample covariance matrices	scientific article; zbMATH DE number 7241576

Statements

instance of

scholarly article

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title

Convergence of eigenvector empirical spectral distribution of sample covariance matrices (English)

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author

Yanyan Li

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published in

The Annals of Statistics

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publication date

28 August 2020

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full work available at URL

https://arxiv.org/abs/1705.03954

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https://projecteuclid.org/euclid.aos/1590480041

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zbMATH Keywords

sample covariance matrix

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empirical spectral distribution

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eigenvector empirical spectral distribution

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Marčenko-Pastur distribution

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MaRDI profile type

MaRDI publication profile

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cites work

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Q3551026

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Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices

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Averaging fluctuations in resolvents of random band matrices

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Universality for generalized Wigner matrices with Bernoulli distribution

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High dimensional covariance matrix estimation using a factor model

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Rate of convergence in probability to the Marchenko-Pastur law

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Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges

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Applied multivariate statistical analysis.

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On the distribution of the largest eigenvalue in principal components analysis

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Q5421705

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Multivariate analysis and Jacobi ensembles: largest eigenvalue, Tracy-Widom limits and rates of convergence

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The isotropic semicircle law and deformation of Wigner matrices

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Anisotropic local laws for random matrices

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Eigenvectors of some large sample covariance matrix ensembles

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Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population

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A necessary and sufficient condition for edge universality of Wigner matrices

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Sparse principal component analysis and iterative thresholding

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DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES

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Sample Eigenvalue Based Detection of High-Dimensional Signals in White Noise Using Relatively Few Samples

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The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices

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Testing hypotheses about the number of factors in large factor models

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Asymptotics of sample eigenstructure for a large dimensional spiked covariance model

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No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix

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Limiting spectral distribution of renormalized separable sample covariance matrices when \(p/n\to 0\)

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Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix

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Identifiers

zbMATH Open document ID

1447.15033

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DOI

10.1214/19-AOS1832

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2196201