ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS

DOI10.1142/S2010326311500110zbMath1251.15037OpenAlexW2147517133MaRDI QIDQ2884858

Xue Ding, Zhi-Dong Bai

Publication date: 18 May 2012

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2010326311500110

zbMATH Keywords

estimationconsistencyasymptotic normalityextreme eigenvaluessample covariance matrixStieltjes transformationspiked population model

Mathematics Subject Classification ID

Multivariate analysis (62H99) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52) Functional limit theorems; invariance principles (60F17) Analysis of variance and covariance (ANOVA) (62J10)

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