ON DETERMINING THE NUMBER OF SPIKES IN A HIGH-DIMENSIONAL SPIKED POPULATION MODEL

DOI10.1142/S201032631150002XzbMath1244.62028arXiv1104.2677MaRDI QIDQ2893152

Damien Passemier, Jian-feng Yao

Publication date: 26 June 2012

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

Full work available at URL: https://arxiv.org/abs/1104.2677

zbMATH Keywords

extreme eigenvalues; factor model; high-dimensional statistics; tracy-widom laws; sample covariance matrices

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60B20: Random matrices (probabilistic aspects)

15A18: Eigenvalues, singular values, and eigenvectors

Related Items

Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case, Likelihood ratio test for partial sphericity in high and ultra-high dimensions, Optimal prediction in the linearly transformed spiked model, A note on the CLT of the LSS for sample covariance matrix from a spiked population model, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models, On generalized expectation-based estimation of a population spectral distribution from high-dimensional data, Estimation of the number of spikes, possibly equal, in the high-dimensional case

Cites Work

• Central limit theorems for eigenvalues in a spiked population model
• On the distribution of the largest eigenvalue in principal components analysis
• Eigenvalues of large sample covariance matrices of spiked population models