Large deviations of extremal eigenvalues of sample covariance matrices

DOI10.1017/JPR.2022.130MaRDI QIDQ6148875zbMATH OpenOpenAlexFDO

Authors Denise Uwamariya, Xiangfeng Yang

Publication date 12 January 2024

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/jpr.2022.130

zbMATH Keywords

extremal eigenvalueslarge deviationssample covariance matrices

Mathematics Subject Classification ID

Conditioning of matrices (15A12) Random matrices (probabilistic aspects) (60B20) Large deviations (60F10)

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Cites work

• Approximation of rectangular beta-Laguerre ensembles and large deviations
• Covering a sphere with spheres
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• Large deviations for eigenvalues of sample covariance matrices, with applications to mobile communication systems
• Large-deviation asymptotics of condition numbers of random matrices
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis
• On the distribution of the largest eigenvalue in principal components analysis
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Shape fluctuations and random matrices

Cited in

(1)

• Right large deviation principle for the top eigenvalue of the sum or product of invariant random matrices

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