ASYMPTOTICS OF EMPIRICAL EIGENSTRUCTURE FOR HIGH DIMENSIONAL SPIKED COVARIANCE
ASYMPTOTICS OF EMPIRICAL EIGENSTRUCTURE FOR HIGH DIMENSIONAL SPIKED COVARIANCE
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Publisher
United States: Institute of Mathematical Statistics
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Language
English
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United States: Institute of Mathematical Statistics
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Contents
We derive the asymptotic distributions of the spiked eigenvalues and eigenvectors under a generalized and unified asymptotic regime, which takes into account the magnitude of spiked eigenvalues, sample size and dimensionality. This regime allows high dimensionality and diverging eigenvalues and provides new insights into the roles that the leading...
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Full title
ASYMPTOTICS OF EMPIRICAL EIGENSTRUCTURE FOR HIGH DIMENSIONAL SPIKED COVARIANCE
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TN_cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_5563862
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_pubmedcentral_primary_oai_pubmedcentral_nih_gov_5563862
Other Identifiers
ISSN
0090-5364
E-ISSN
2168-8966
DOI
10.1214/16-aos1487
