Some strong convergence theorems for eigenvalues of general sample covariance matrices

DOI10.1142/S2010326322500290zbMATH Open1493.15118OpenAlexW3216084710WikidataQ113775125 ScholiaQ113775125MaRDI QIDQ5092963FDOQ5092963

Authors: Yanqing Yin 

Publication date: 26 July 2022

Published in: Random Matrices: Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s2010326322500290

Recommendations

• Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
• Strong convergence of ESD for the generalized sample covariance matrices when \(p/n \rightarrow 0\)
• Convergence of eigenvector empirical spectral distribution of sample covariance matrices
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
• Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
• On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices
• On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence
• Strong Law for the eigenvalues and eigenvectors of empirical covariance matrices
• On the weak limit of the largest eigenvalue of a large dimensional sample covariance matrix

zbMATH Keywords

spectral normlargest eigenvalueextreme eigenvaluessample covariance matricesspectrum separation

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Random matrices (probabilistic aspects) (60B20) Strong limit theorems (60F15)

Cites Work

• Matrix Analysis
• Spectral analysis of large dimensional random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Title not available (Why is that?)
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Title not available (Why is that?)
• Distribution function inequalities for martingales
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence
• A note on the largest eigenvalue of a large dimensional sample covariance matrix
• Some limit theorems for the eigenvalues of a sample covariance matrix
• Universality of covariance matrices
• No eigenvalues outside the support of the limiting empirical spectral distribution of a separable covariance matrix
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• Exact separation of eigenvalues of large dimensional sample covariance matrices
• A universality result for the smallest eigenvalues of certain sample covariance matrices
• The Tracy-Widom limit for the largest eigenvalues of singular complex Wishart matrices
• The strong limits of random matrix spectra for sample matrices of independent elements
• The limit of the smallest singular value of random matrices with i.i.d. entries
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Title not available (Why is that?)
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• On Structure Testing for Component Covariance Matrices of a High Dimensional Mixture
• CLT for linear spectral statistics of large dimensional sample covariance matrices with dependent data
• Joint central limit theorem for eigenvalue statistics from several dependent large dimensional sample covariance matrices with application

Cited In (5)

• Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
• Title not available (Why is that?)
• Joint convergence of sample autocovariance matrices when \(p/n\to 0\) with application
• Moderate deviations for extreme eigenvalues of real-valued sample covariance matrices
• Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix

This page was built for publication: Some strong convergence theorems for eigenvalues of general sample covariance matrices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5092963)