Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
DOI10.1016/J.JMVA.2010.02.001zbMATH Open1191.15034OpenAlexW2038302754MaRDI QIDQ968484FDOQ968484
Publication date: 5 May 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2010.02.001
Stieltjes transformempirical distributionrandom matricesdistribution of eigenvaluessample covariance matrices
Probability distributions: general theory (60E05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
- DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
- Limiting spectral distribution for a class of random matrices
- Distribution function inequalities for martingales
- On the empirical distribution of eigenvalues of a class of large dimensional random matrices
- The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
- Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
- On limit theorem for the eigenvalues of product of two random matrices
Cited In (13)
- Identity tests for high dimensional data using RMT
- Limiting spectral distribution of a new random matrix model with dependence across rows and columns
- Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
- The limiting spectral distribution for large sample covariance matrices with unboundedm-dependent entries
- Some strong convergence theorems for eigenvalues of general sample covariance matrices
- Regular variation and free regular infinitely divisible laws
- Asymptotic performance of PCA for high-dimensional heteroscedastic data
- Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
- The convergence on spectrum of sample covariance matrices for information-plus-noise type data
- Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
- The singular values and vectors of low rank perturbations of large rectangular random matrices
- Independence test for high dimensional data based on regularized canonical correlation coefficients
- RETRACTED: New applications of the existence of solutions for equilibrium equations with Neumann type boundary condition
This page was built for publication: Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q968484)
