Strong convergence of the empirical distribution of eigenvalues of sample covariance matrices with a perturbation matrix

DOI10.1016/J.JMVA.2010.02.001MaRDI QIDQ968484zbMATH OpenOpenAlexFDO

Authors Guangming Pan

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

zbMATH Keywords

Stieltjes transformempirical distributionrandom matricesdistribution of eigenvaluessample covariance matrices

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Eigenvalues, singular values, and eigenvectors (15A18) Random matrices (algebraic aspects) (15B52)

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Cites work

• scientific article; zbMATH DE number 5691097 (Why is no real title available?)
• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• Central limit theorem for linear eigenvalue statistics of random matrices with independent entries
• DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
• Distribution function inequalities for martingales
• Limiting spectral distribution for a class of random matrices
• On limit theorem for the eigenvalues of product of two random matrices
• On the empirical distribution of eigenvalues of a class of large dimensional random matrices
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices

Cited in

(14)

• Asymptotic performance of PCA for high-dimensional heteroscedastic data
• Limiting spectral distribution of large sample covariance matrices associated with a class of stationary processes
• Identity tests for high dimensional data using RMT
• Strong convergence of ESD for the generalized sample covariance matrices when \(p/n \rightarrow 0\)
• Some strong convergence theorems for eigenvalues of general sample covariance matrices
• Limiting spectral distribution of a new random matrix model with dependence across rows and columns
• Regular variation and free regular infinitely divisible laws
• The limiting spectral distribution for large sample covariance matrices with unbounded \(m\)-dependent entries
• Limit theory for the largest eigenvalues of sample covariance matrices with heavy-tails
• Strong limit of the extreme eigenvalues of a symmetrized auto-cross covariance matrix
• RETRACTED: New applications of the existence of solutions for equilibrium equations with Neumann type boundary condition
• The convergence on spectrum of sample covariance matrices for information-plus-noise type data
• 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

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