The largest eigenvalues of sample covariance matrices for a spiked population: diagonal case

DOI10.1063/1.3155785MaRDI QIDQ3069151zbMATH OpenOpenAlexFDO

Authors Delphine Féral, S. Péché

Publication date 24 January 2011

Published in Journal of Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0812.2320

zbMATH Keywords

covariance matricesfluctuationseigenvalues and eigenfunctions

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Graphs and linear algebra (matrices, eigenvalues, etc.) (05C50) Random graphs (graph-theoretic aspects) (05C80) Eigenvalues, singular values, and eigenvectors (15A18)

Abstract: We consider large complex random sample covariance matrices obtained from "spiked populations", that is when the true covariance matrix is diagonal with all but finitely many eigenvalues equal to one. We investigate the limiting behavior of the largest eigenvalues when the population and the sample sizes both become large. Under some conditions on moments of the sample distribution, we prove that the asymptotic fluctuations of the largest eigenvalues are the same as for a complex Gaussian sample with the same true covariance. The real setting is also considered.

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Cited in

(25)

• On sample eigenvalues in a generalized spiked population model
• Limiting distribution of the sample canonical correlation coefficients of high-dimensional random vectors
• Spiked sample covariance matrices with possibly multiple bulk components
• Large-dimensional random matrix theory and its applications in deep learning and wireless communications
• Tracy-Widom distribution for the largest eigenvalue of real sample covariance matrices with general population
• Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices
• Tracy-Widom limit for the largest eigenvalue of a large class of complex sample covariance matrices
• A note on spiked Wishart matrices
• Rank 1 real Wishart spiked model
• Central limit theorems for eigenvalues of deformations of Wigner matrices
• On eigenvalues of a high-dimensional Kendall's rank correlation matrix with dependence
• Optimal detection of sparse principal components in high dimension
• Gaussian determinantal processes: a new model for directionality in data
• Signal detection in high dimension: the multispiked case
• Edgeworth correction for the largest eigenvalue in a spiked PCA model
• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• Unbounded largest eigenvalue of large sample covariance matrices: asymptotics, fluctuations and applications
• The Tracy-Widom law for the largest eigenvalue of F type matrices
• Limits of spiked random matrices. I
• Sample canonical correlation coefficients of high-dimensional random vectors with finite rank correlations
• Eigenvalues of large sample covariance matrices of spiked population models
• The spectral edge of some random band matrices
• Universality for the largest eigenvalue of sample covariance matrices with general population
• Asymptotic power of sphericity tests for high-dimensional data
• Random matrix theory in statistics: a review

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