Rank 1 real Wishart spiked model

DOI10.1002/cpa.21415zbMath1257.15020arXiv1101.5144MaRDI QIDQ3165463

Man Yue Mo

Publication date: 26 October 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5144

zbMATH Keywords

asymptotic behavior; principal component analysis; eigenvalue distribution; phase transition; covariance matrix; Wishart matrix; Marchenko-Pastur law; largest value distribution

Mathematics Subject Classification ID

62H25: Factor analysis and principal components; correspondence analysis

60B20: Random matrices (probabilistic aspects)

15A18: Eigenvalues, singular values, and eigenvectors

82B26: Phase transitions (general) in equilibrium statistical mechanics

15B52: Random matrices (algebraic aspects)

62J10: Analysis of variance and covariance (ANOVA)

Related Items

DETECTION OF WEAK SIGNALS IN HIGH-DIMENSIONAL COMPLEX-VALUED DATA, Limits of spiked random matrices. II, Limits of spiked random matrices. I, Asymptotic power of sphericity tests for high-dimensional data, Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model, Spiking the random matrix hard edge, Large complex correlated Wishart matrices: fluctuations and asymptotic independence at the edges, Universality for the largest eigenvalue of sample covariance matrices with general population, Hypergeometric functions of matrix arguments and linear statistics of multi-spiked Hermitian matrix models, Painlevé II in random matrix theory and related fields, Fluctuations of the free energy of the spherical Sherrington-Kirkpatrick model with ferromagnetic interaction, A note on spiked Wishart matrices, Signal detection in high dimension: the multispiked case, Asymptotic linear spectral statistics for spiked Hermitian random matrices, ASYMPTOTICS OF SPACING DISTRIBUTIONS AT THE HARD EDGE FOR β-ENSEMBLES, PROBABILITY DENSITIES AND DISTRIBUTIONS FOR SPIKED AND GENERAL VARIANCE WISHART β-ENSEMBLES

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