On the eigenvectors of large dimensional sample covariance matrices

DOI10.1016/0047-259X(89)90084-5zbMATH Open0678.60011OpenAlexW2161896882MaRDI QIDQ1124199FDOQ1124199

Authors: Jack W. Silverstein 

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0047-259x(89)90084-5

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zbMATH Keywords

covariance matricesBrownian bridgeconvergence in distributionbehavior of eigenvectors

Mathematics Subject Classification ID

Multivariate analysis (62H99) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15)

Cites Work

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• Maximum Properties and Inequalities for the Eigenvalues of Completely Continuous Operators
• A note on the largest eigenvalue of a large dimensional sample covariance matrix
• Some limit theorems for the eigenvalues of a sample covariance matrix
• A limit theorem for the norm of random matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• Spectral Analysis of Networks with Random Topologies
• Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
• Describing the Behavior of Eigenvectors of Random Matrices Using Sequences of Measures on Orthogonal Groups
• On the Randomness of Eigenvectors Generated from Networks with Random Topologies

Cited In (34)

• Dynamic linear panel regression models with interactive fixed effects
• Necessary and sufficient conditions for the asymptotic distributions of coherence of ultra-high dimensional random matrices
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Eigenvalue distribution of large sample covariance matrices of linear processes
• Asymptotic properties of eigenmatrices of a large sample covariance matrix
• On the eigenvectors of large-dimensional sample spatial sign covariance matrices
• Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
• The eigenvector LSD of information plus noise matrices and its application to linear regression model
• Functional CLT of eigenvectors for large sample covariance matrices
• Convergence rate of eigenvector empirical spectral distribution of large Wigner matrices
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• In memoriam: Paruchuri Rama Krishnaiah (1932--1987). A tribute
• Sample covariance matrix for random vectors with heavy tails
• Eigenvector delocalization for non‐Hermitian random matrices and applications
• On the behaviour of the smallest eigenvalue of a high-dimensional sample covariance matrix
• Title not available (Why is that?)
• Large sample approximations for the LR statistic for equality of the smallest eigenvalues of a covariance matrix under elliptical population
• Convergence of eigenvector empirical spectral distribution of sample covariance matrices
• Eigenvectors and controllability of non-Hermitian random matrices and directed graphs
• On asymptotics of eigenvectors of large sample covariance matrix
• Comparison between two types of large sample covariance matrices
• Title not available (Why is that?)
• Weak convergence of a collection of random functions defined by the eigenvectors of large dimensional random matrices
• Universality for Eigenvalue Algorithms on Sample Covariance Matrices
• Eigen structure of a new class of covariance and inverse covariance matrices
• Linear spectral statistics of eigenvectors of anisotropic sample covariance matrices
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
• Title not available (Why is that?)
• On spectral distribution of sample covariance matrices from large dimensional and large \(k\)-fold tensor products
• Limiting behavior of eigenvectors of large Wigner matrices
• Convergence rates of eigenvector empirical spectral distribution of large dimensional sample covariance matrix
• Cleaning large correlation matrices: tools from random matrix theory
• Eigenvectors of some large sample covariance matrix ensembles
• Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension

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