Eigenvalues of large sample covariance matrices of spiked population models
Eigenvalues of large sample covariance matrices of spiked population models
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DOI：
10.1016/j.jmva.2005.08.003
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发表时间：
2006-07-01
影响因子：
1.6
通讯作者：
Silverstein, Jack W.
中科院分区：
文献类型：
--
作者：
Baik, Jinho;Silverstein, Jack W.
考虑了Johnstone提出的一类尖峰种群模型，其中除少数固定特征值外，所有种群特征值均为1。问题是当样本容量和总体容量都变大时，样本特征值如何依赖于非单位总体特征值。本文完全确定了一类一般样本的尖峰模型中样本特征值的几乎处处极限。(c)2005年爱思唯尔公司All rights reserved.
We consider a spiked population model, proposed by Johnstone, in which all the population eigen-values are one except for a few fixed eigenvalues. The question is to determine how the sample eigenvalues depend on the non-unit population ones when both sample size and population size become large. This paper completely determines the almost sure limits of the sample eigenvalues in a spiked model for a general class of samples. (c) 2005 Elsevier Inc. All rights reserved.