Lower bounds on the smallest eigenvalue of a sample covariance matrix
Probability
2014-12-17 v2
Abstract
We derive tight lower bounds on the smallest eigenvalue of a sample covariance matrix of a centred isotropic random vector under weak or no assumptions on its components.
Keywords
Cite
@article{arxiv.1409.6188,
title = {Lower bounds on the smallest eigenvalue of a sample covariance matrix},
author = {Pavel Yaskov},
journal= {arXiv preprint arXiv:1409.6188},
year = {2014}
}