Estimation of the number of spikes, possibly equal, in the high-dimensional case

DOI10.1016/j.jmva.2014.02.017zbMath1293.62044arXiv1110.1364MaRDI QIDQ2443265

Damien Passemier, Jian-feng Yao

Publication date: 7 April 2014

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

Full work available at URL: https://arxiv.org/abs/1110.1364

zbMATH Keywords

random matrix theory; spiked population model; Tracy-Widom law; high-dimensional covariance matrix

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60B20: Random matrices (probabilistic aspects)

62F07: Statistical ranking and selection procedures

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