Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes

DOI10.1016/J.JMVA.2021.104742zbMATH Open1467.62094arXiv2009.10285OpenAlexW3135876950MaRDI QIDQ2034460FDOQ2034460

Authors: Junshan Xie, Yicheng Zeng, Li-Xing Zhu 

Publication date: 22 June 2021

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

Abstract: Consider the $pimesp$ matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to $p$, when two samples of sizes $n$ and $T$ from the two populations are available, we construct its corresponding sample version. In the regime of high dimension where both $n$ and $T$ are proportional to $p$, we investigate the limiting laws for extreme (spiked) eigenvalues of the sample (spiked) Fisher matrix when the number of spikes is divergent and these spikes are unbounded.

Full work available at URL: https://arxiv.org/abs/2009.10285

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zbMATH Keywords

random matrix theoryFisher matrixspiked population modelextreme eigenvaluephase transition phenomenon

Mathematics Subject Classification ID

Large deviations (60F10) Estimation in multivariate analysis (62H12) Inequalities involving eigenvalues and eigenvectors (15A42) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cited In (3)

• Order determination for spiked-type models with a divergent number of spikes
• A Pairwise Hotelling Method for Testing High-Dimensional Mean Vectors
• Extreme eigenvalues of large-dimensional spiked Fisher matrices with application

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