On the weak limit of the largest eigenvalue of a large dimensional sample covariance matrix

DOI10.1016/0047-259X(89)90042-0zbMATH Open0692.60022MaRDI QIDQ583703FDOQ583703

Authors: Jack W. Silverstein 

Publication date: 1989

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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zbMATH Keywords

convergence in probabilitylargest eigenvalue of sample covariance matrix

Mathematics Subject Classification ID

Multivariate analysis (62H99) Central limit and other weak theorems (60F05)

Cites Work

• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• Limiting spectral distribution for a class of random matrices
• A note on the largest eigenvalue of a large dimensional sample covariance matrix

Cited In (29)

• Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
• Limiting behavior of the norm of products of random matrices and two problems of Geman-Hwang
• On the eigenvectors of large dimensional sample covariance matrices
• The smallest singular value anomaly: the reasons behind sharp anomaly
• On the limit of the largest eigenvalue of the large dimensional sample covariance matrix
• MOPS: multivariate orthogonal polynomials (symbolically)
• On the interval of fluctuation of the singular values of random matrices
• Product of exponentials and spectral radius of random \(k\)-circulants
• Title not available (Why is that?)
• A necessary and sufficient condition for edge universality at the largest singular values of covariance matrices
• An upper bound on the smallest singular value of a square random matrix
• Asymptotic geometric analysis: achievements and perspective
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• Convergence rate to the Tracy-Widom laws for the largest eigenvalue of sample covariance matrices
• A note on the largest eigenvalue of a large dimensional sample covariance matrix
• Large sample approximations for the LR statistic for equality of the smallest eigenvalues of a covariance matrix under elliptical population
• Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
• Edge universality of separable covariance matrices
• Universality results for the largest eigenvalues of some sample covariance matrix ensembles
• Some estimates of norms of random matrices
• Quantitative Version of a Silverstein’s Result
• Constructive regularization of the random matrix norm
• On the largest singular values of random matrices with independent Cauchy entries
• The smallest singular value of heavy-tailed not necessarily i.i.d. random matrices via random rounding
• The limit of the smallest singular value of random matrices with i.i.d. entries
• Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
• A weak law of large numbers for the sample covariance matrix
• Norms of random matrices: local and global problems
• The norm of polynomials in large random and deterministic matrices

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