Eigenvalues of Large Sample Covariance Matrices of Spiked Population Models
Statistics Theory
2007-06-13 v1 Probability
Statistics Theory
Abstract
We consider a spiked population model, proposed by Johnstone, whose population eigenvalues are all unit 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 for a general class of samples.
Keywords
Cite
@article{arxiv.math/0408165,
title = {Eigenvalues of Large Sample Covariance Matrices of Spiked Population Models},
author = {Jinho Baik and Jack W. Silverstein},
journal= {arXiv preprint arXiv:math/0408165},
year = {2007}
}
Comments
24 pages, 6 figures