Eigenvalue variance bounds for covariance matrices
Probability
2013-09-25 v1
Abstract
This work is concerned with finite range bounds on the variance of individual eigenvalues of random covariance matrices, both in the bulk and at the edge of the spectrum. In a preceding paper, the author established analogous results for Wigner matrices and stated the results for covariance matrices. They are proved in the present paper. Relying on the LUE example, which needs to be investigated first, the main bounds are extended to complex covariance matrices by means of the Tao, Vu and Wang Four Moment Theorem and recent localization results by Pillai and Yin. The case of real covariance matrices is obtained from interlacing formulas.
Cite
@article{arxiv.1309.6265,
title = {Eigenvalue variance bounds for covariance matrices},
author = {Sandrine Dallaporta},
journal= {arXiv preprint arXiv:1309.6265},
year = {2013}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1203.1597