General equation for the eigenvalues of empirical covariance matrices II

DOI10.1515/ROSE.1994.2.2.175zbMATH Open0842.60033OpenAlexW4244635059MaRDI QIDQ4861924FDOQ4861924

Authors: Vyacheslav Girko 

Publication date: 8 February 1996

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.1994.2.2.175

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zbMATH Keywords

eigenvalues of covariance matrixempirical covariance matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Limit theorems in probability theory (60F99)

Cited In (2)

• General equation for the eigenvalues of empirical covariance matrices I
• A new confidence interval for all characteristic roots of a covariance matrix

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