Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data
Statistics Theory
2018-10-26 v2 Statistics Theory
Abstract
These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sample leading eigenvalues and certain projections of the corresponding sample eigenvectors. The results parallel those of Paul [2007], but are given using the non-Gaussian model of Bai and Yao [2008]. The results are not new, and citations are given, but proofs are collected and organized as a point of departure for Morales-Jimenez et al. [2018].
Cite
@article{arxiv.1810.10427,
title = {Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data},
author = {Iain M. Johnstone and Jeha Yang},
journal= {arXiv preprint arXiv:1810.10427},
year = {2018}
}
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