A better approximation of moments of the eigenvalues and eigenvectors of the sample covariance matrix

DOI10.1016/J.JMVA.2015.08.002MaRDI QIDQ893173zbMATH OpenOpenAlexFDO

Authors A. Enguix-González, J. L. Moreno-Rebollo, J. M. Muñoz-Pichardo

Publication date 13 November 2015

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

Full work available at URL https://doi.org/10.1016/j.jmva.2015.08.002

zbMATH Keywords

principal component analysiseigenvalueseigenvectorssample covariance matrixinfluence analysis

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25)

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Cites work

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• scientific article; zbMATH DE number 1077338 (Why is no real title available?)
• scientific article; zbMATH DE number 954482 (Why is no real title available?)
• On the Sampling Theory of Roots of Determinantal Equations
• TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
• Using conditional bias in principal component analysis for the evaluation of joint influence on the eigenvalues of the covariance matrix

Cited in

(7)

• Approximation of some moments in eigenvalue problem including some random variables and its application
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• scientific article; zbMATH DE number 2147962 (Why is no real title available?)
• Second-order accurate inference on eigenvalues of covariance and correlation matrices
• Distribution approximation of covariance matrix eigenvalues
• Martingale approximation of eigenvalues for common factor representation
• On the Moments of the Trace of a Matrix and Approximations to its Distribution

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