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

DOI10.1063/1.3155785zbMATH Open1342.62100arXiv0812.2320OpenAlexW2032921855MaRDI QIDQ3069151FDOQ3069151

Delphine Féral, S. Péché

Publication date: 24 January 2011

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

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.

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

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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)

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Cited In (17)

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

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