Eigenvectors of some large sample covariance matrix ensembles

DOI10.1007/s00440-010-0298-3zbMath1229.60009arXiv0911.3010MaRDI QIDQ644783

Sandrine Péché, Olivier Ledoit

Publication date: 7 November 2011

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.3010

zbMATH Keywords

Stieltjes transform; asymptotic distribution; principal component analysis; shrinkage estimator; random matrix theory; bias correction; sample covariance matrix; eigenvectors and eigenvalues

Mathematics Subject Classification ID

60B20: Random matrices (probabilistic aspects)

15B52: Random matrices (algebraic aspects)

62J10: Analysis of variance and covariance (ANOVA)

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