On the principal components of sample covariance matrices

DOI10.1007/s00440-015-0616-xzbMath1339.15023arXiv1404.0788MaRDI QIDQ2634905

Alex Bloemendal, Antti Knowles, Horng-Tzer Yau, Jun Yin

Publication date: 10 February 2016

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.0788

zbMATH Keywords

spikes; universality; random matrix; principal components; covariance matrices; quantum unique ergodicity; level repulsion; outlier and non-outlier eigenvectors

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

60B20: Random matrices (probabilistic aspects)

82B44: Disordered systems (random Ising models, random Schrödinger operators, etc.) in equilibrium statistical mechanics

15A18: Eigenvalues, singular values, and eigenvectors

15B52: Random matrices (algebraic aspects)