CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures

DOI10.1016/J.JMVA.2022.105127MaRDI QIDQ2101482zbMATH OpenOpenAlexFDO

Authors Junpeng Zhu, Weiming Li

Publication date 6 December 2022

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

Full work available at URL https://doi.org/10.1016/j.jmva.2022.105127

zbMATH Keywords

central limit theoremGaussian mixturelarge covariance matrixspiked eigenvalues

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Multivariate analysis (62Hxx)

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Cites work

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• Eigenvectors of some large sample covariance matrix ensembles
• Extreme eigenvalues of large-dimensional spiked Fisher matrices with application
• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
• Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
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• Spiked separable covariance matrices and principal components
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications

Cited in

(2)

• RDS free CLT for spiked eigenvalues of high-dimensional covariance matrices
• A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes

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