Strong Law for the eigenvalues and eigenvectors of empirical covariance matrices

DOI10.1515/ROSE.1996.4.2.179zbMATH Open0864.60026OpenAlexW2085264310MaRDI QIDQ4889501FDOQ4889501

Authors: Vyacheslav Girko 

Publication date: 3 June 1997

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

Full work available at URL: https://doi.org/10.1515/rose.1996.4.2.179

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zbMATH Keywords

orthogonal eigenvectorsempirical covariance matrix

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Strong limit theorems (60F15)

Cited In (9)

• Ensemble-based estimates of eigenvector error for empirical covariance matrices
• Title not available (Why is that?)
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• General equation for the eigenvalues of empirical covariance matrices II
• Asymptotic properties of principal component analysis and shrinkage-bias adjustment under the generalized spiked population model
• On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence
• Sharp bounds on the rate of convergence of the empirical covariance matrix
• Canonical spectral equation for empirical covariance matrices
• A weak law of large numbers for the sample covariance matrix

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