A better approximation of moments of the eigenvalues and eigenvectors of the sample covariance matrix
DOI10.1016/J.JMVA.2015.08.002zbMATH Open1325.62118OpenAlexW1417528826MaRDI QIDQ893173FDOQ893173
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
Recommendations
- scientific article; zbMATH DE number 2147962
- Eigenvectors of some large sample covariance matrix ensembles
- On variance of sample matrix eigenvalue
- On the Moments of the Trace of a Matrix and Approximations to its Distribution
- Large sample approximations for the LR statistic for equality of the smallest eigenvalues of a covariance matrix under elliptical population
Asymptotic properties of parametric estimators (62F12) Factor analysis and principal components; correspondence analysis (62H25)
Cites Work
- TESTS OF SIGNIFICANCE FOR THE LATENT ROOTS OF COVARIANCE AND CORRELATION MATRICES
- Title not available (Why is that?)
- Title not available (Why is that?)
- Using conditional bias in principal component analysis for the evaluation of joint influence on the eigenvalues of the covariance matrix
- Title not available (Why is that?)
- On the Sampling Theory of Roots of Determinantal Equations
Cited In (7)
- Approximation of some moments in eigenvalue problem including some random variables and its application
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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
This page was built for publication: A better approximation of moments of the eigenvalues and eigenvectors of the sample covariance matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q893173)
