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

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English	Convergence of eigenvector empirical spectral distribution of sample covariance matrices	scientific article

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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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Rate of convergence in probability to the Marchenko-Pastur law

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Q5452361

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On the distribution of the largest eigenvalue in principal components analysis

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Eigenvectors of some large sample covariance matrix ensembles

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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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Q5449216

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

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Universality of covariance matrices

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Weak convergence of random functions defined by the eigenvectors of sample covariance matrices

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Local circular law for the product of a deterministic matrix with a random matrix

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Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices

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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