Limit of the smallest eigenvalue of a large dimensional sample covariance matrix

DOI10.1214/AOP/1176989118zbMATH Open0779.60026OpenAlexW1981573335WikidataQ105584321 ScholiaQ105584321MaRDI QIDQ688039FDOQ688039

Authors: Y. Q. Yin, Zhidong Bai 

Publication date: 19 January 1994

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176989118

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zbMATH Keywords

random matrixspectral radiussample covariance matrixsmallest eigenvalue of a random matrix

Mathematics Subject Classification ID

Multivariate analysis (62H99) Strong limit theorems (60F15)

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