Convergence of Sample Eigenvectors of Spiked Population Model

DOI10.1080/03610926.2013.833240zbMath1331.15026OpenAlexW2129416796MaRDI QIDQ3458125

Xue Ding

Publication date: 8 December 2015

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.833240

zbMATH Keywords

spiked population modelsample covariance matricessample eigenvectors

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Random matrices (algebraic aspects) (15B52)

Related Items (2)

Limiting laws for divergent spiked eigenvalues and largest nonspiked eigenvalue of sample covariance matrices ⋮ Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model

Cites Work

• Convergence and prediction of principal component scores in high-dimensional settings
• Central limit theorems for eigenvalues in a spiked population model
• On sample eigenvalues in a generalized spiked population model
• Spectral analysis of large dimensional random matrices
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• On the distribution of the largest eigenvalue in principal components analysis
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Penalized discriminant analysis
• Shape fluctuations and random matrices
• Eigenvalues of large sample covariance matrices of spiked population models
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

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