On sample eigenvalues in a generalized spiked population model

DOI10.1016/J.JMVA.2011.10.009MaRDI QIDQ765838zbMATHOpenAlexFDO

Authors Zhidong Bai, Jian-Feng Yao

Publication date 22 March 2012

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

Full work available at URL https://arxiv.org/abs/0806.1141

zbMATH Keywords

largest eigenvaluecentral limit theoremsextreme eigenvaluesspiked population modelsample covariance matrices

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Strong limit theorems (60F15)

Abstract: In the spiked population model introduced by Johnstone (2001),the population covariance matrix has all its eigenvalues equal to unit except for a few fixed eigenvalues (spikes). The question is to quantify the effect of the perturbation caused by the spike eigenvalues. Baik and Silverstein (2006) establishes the almost sure limits of the extreme sample eigenvalues associated to the spike eigenvalues when the population and the sample sizes become large. In a recent work (Bai and Yao, 2008), we have provided the limiting distributions for these extreme sample eigenvalues. In this paper, we extend this theory to a {em generalized} spiked population model where the base population covariance matrix is arbitrary, instead of the identity matrix as in Johnstone's case. New mathematical tools are introduced for establishing the almost sure convergence of the sample eigenvalues generated by the spikes.

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