On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices

DOI10.1109/TSP.2008.929662MaRDI QIDQ4568819zbMATH OpenFDO

Authors X. Mestre

Publication date 27 June 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TSP.2008.929662

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Sampling theory in information and communication theory (94A20)

Cited in

(23)

• Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model
• Corrigendum to: ``Asymptotics of eigenvalues and unit-length eigenvectors of sample variance and correlation matrices
• On bilinear forms based on the resolvent of large random matrices
• Random matrix-improved estimation of covariance matrix distances
• Asymptotic expansion for distribution of the trace of a covariance matrix under a two-step monotone incomplete sample
• On the behaviour of the smallest eigenvalue of a high-dimensional sample covariance matrix
• Analysis of the limiting spectral measure of large random matrices of the separable covariance type
• scientific article; zbMATH DE number 37793 (Why is no real title available?)
• Large dimensional analysis and optimization of robust shrinkage covariance matrix estimators
• scientific article; zbMATH DE number 6126656 (Why is no real title available?)
• Robust spiked random matrices and a robust G-MUSIC estimator
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• Shared subspace models for multi-group covariance estimation
• Random matrix improved covariance estimation for a large class of metrics*
• A Compound Decision Approach to Covariance Matrix Estimation
• Ridge estimation of covariance matrix from data in two classes.
• Exponential bounds for regularized Hotelling's T2 statistic in high dimension
• Large Dynamic Covariance Matrices
• Analysis of the limiting spectral distribution of large random matrices of the Marčenko-Pastur type
• Asymptotic limits of spiked eigenvalues and eigenvectors of signal-plus-noise matrices with weak signals and heteroskedastic noise
• Generalized linear spectral statistics of high-dimensional sample covariance matrices and its applications
• Estimating eigenvectors and eigenspaces of covariance matrices: Optimal Bounds and Conditions for Consistency
• Second order statistics of robust estimators of scatter. Application to GLRT detection for elliptical signals

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