On the limit of the largest eigenvalue of the large dimensional sample covariance matrix

DOI10.1007/BF00353874zbMath0627.62022OpenAlexW2089794108MaRDI QIDQ1092547

Y. Q. Yin, P. R. Krishnaiah, Zhi-Dong Bai

Publication date: 1988

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00353874

zbMATH Keywords

fourth moment cross products large-dimensional random matrices largest eigenvalue of the sample covariance matrix sample sums of squares

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Strong limit theorems (60F15)

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