Eigenvalues of large sample covariance matrices of spiked population models

DOI10.1016/j.jmva.2005.08.003zbMath1220.15011arXivmath/0408165MaRDI QIDQ2507762

Jinho Baik, Jack W. Silverstein

Publication date: 5 October 2006

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

Full work available at URL: https://arxiv.org/abs/math/0408165

zbMATH Keywords

eigenvalues; sample covariance matrices; almost sure limits; spiked population models

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62H99: Multivariate analysis

15A18: Eigenvalues, singular values, and eigenvectors

15B52: Random matrices (algebraic aspects)

60F17: Functional limit theorems; invariance principles

Related Items

Bi-cross-validation of the SVD and the nonnegative matrix factorization, The largest eigenvalue of real symmetric, Hermitian and Hermitian self-dual random matrix models with rank one external source. I, On the border of extreme and mild spiked models in the HDLSS framework, Boundary behavior in high dimension, low sample size asymptotics of PCA, The singular values and vectors of low rank perturbations of large rectangular random matrices, The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices, Convergence and prediction of principal component scores in high-dimensional settings, Central limit theorems for eigenvalues in a spiked population model, Effective PCA for high-dimension, low-sample-size data with noise reduction via geometric representations, On sample eigenvalues in a generalized spiked population model, High-dimensional analysis of semidefinite relaxations for sparse principal components, The largest sample eigenvalue distribution in the rank 1 quaternionic spiked model of Wishart ensemble, The spectrum of kernel random matrices, A rate of convergence result for the largest eigenvalue of complex white Wishart matrices, No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix, Universality in complex Wishart ensembles for general covariance matrices with 2 distinct eigenvalues, Effective PCA for high-dimension, low-sample-size data with singular value decomposition of cross data matrix, Spectrum estimation for large dimensional covariance matrices using random matrix theory, Finite sample approximation results for principal component analysis: A matrix perturbation approach, Statistical eigen-inference from large Wishart matrices, The largest eigenvalues of finite rank deformation of large Wigner matrices: Convergence and nonuniversality of the fluctuations, Universality results for the largest eigenvalues of some sample covariance matrix ensembles, PCA consistency in high dimension, low sample size context, Singular value decomposition of large random matrices (for two-way classification of microarrays), Large deviations for weighted empirical mean with outliers, The largest eigenvalue of rank one deformation of large Wigner matrices, Painlevé formulas of the limiting distributions for nonnull complex sample covariance matrices, Eigenvalues of large sample covariance matrices of spiked population models, ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS, ON DETERMINING THE NUMBER OF SPIKES IN A HIGH-DIMENSIONAL SPIKED POPULATION MODEL, The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case, Two-Stage Procedures for High-Dimensional Data, Rank 1 real Wishart spiked model, Intrinsic Dimensionality Estimation of High-Dimension, Low Sample Size Data withD-Asymptotics, PCA Consistency for Non-Gaussian Data in High Dimension, Low Sample Size Context, Eigenvalue separation in some random matrix models

Cites Work

• Unnamed Item
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• The smallest eigenvalue of a large dimensional Wishart matrix
• On the limit of the largest eigenvalue of the large dimensional 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
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Level-spacing distributions and the Airy kernel
• A note on universality of the distribution of the largest eigenvalues in certain sample covariance matrices
• Exact separation of eigenvalues of large dimensional sample covariance matrices
• Limiting spectral distribution for a class of random matrices
• On the distribution of the largest eigenvalue in principal components analysis
• Penalized discriminant analysis
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• Analysis of the limiting spectral distribution of large dimensional random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• On orthogonal and symplectic matrix ensembles
• The spectrum edge of random matrix ensembles.
• Eigenvalues of large sample covariance matrices of spiked population models
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• Matrix Analysis
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Discrete orthogonal polynomial ensembles and the Plancherel measure