On variance of sample matrix eigenvalue

DOI10.1080/03610918.2019.1588315MaRDI QIDQ5082665zbMATH OpenOpenAlexFDO

Authors Janusz L. Wywiał, Grzegorz Sitek

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2019.1588315

zbMATH Keywords

variance-covariance matrixcanonical correlationmatrix eigenvalueapproximation of variance

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cites work

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Cited in

(6)

• A note on variance bounds and location of eigenvalues
• Mean and variance of an estimator of k-dimensional variability
• A better approximation of moments of the eigenvalues and eigenvectors of the sample covariance matrix
• A Comparison of Methods for Approximating the Mean Eigenvalues of a Random Matrix
• Design-free estimation of variance matrices
• scientific article; zbMATH DE number 5629284 (Why is no real title available?)

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