Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
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Publication:2002709
DOI10.1016/j.laa.2019.05.001zbMath1418.15030arXiv1802.01874OpenAlexW2785399240WikidataQ127944995 ScholiaQ127944995MaRDI QIDQ2002709
Jamal Najim, Peng Tian, Florence Merlevède
Publication date: 12 July 2019
Published in: Linear Algebra and its Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1802.01874
Gaussian processes (60G15) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)
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