On variance of sample matrix eigenvalue

DOI10.1080/03610918.2019.1588315zbMATH Open1497.62141OpenAlexW2930543415MaRDI QIDQ5082665FDOQ5082665

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

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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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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
• Title not available (Why is that?)

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