On the behaviour of the smallest eigenvalue of a high-dimensional sample covariance matrix

DOI10.1070/RM2013v068n03ABEH004841zbMath1275.60013MaRDI QIDQ2854103

P. A. Yas'kov

Publication date: 17 October 2013

Published in: Russian Mathematical Surveys (Search for Journal in Brave)

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20)

Cites Work

• Unnamed Item
• Covariance estimation for distributions with \({2+\varepsilon}\) moments
• Statistical analysis of observations of increasing dimension. Transl. from the Russian

This page was built for publication: On the behaviour of the smallest eigenvalue of a high-dimensional sample covariance matrix