Extremal eigenvalues of sample covariance matrices with general population

DOI10.3150/21-BEJ1329zbMath1473.15045arXiv1908.07444OpenAlexW3195308806MaRDI QIDQ1983634

Jaewhi Park, Jinwoong Kwak, Ji Oon Lee

Publication date: 10 September 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1908.07444

zbMATH Keywords

largest eigenvaluesample covariance matrixdeformed Marchenko-Pastur distribution

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52)

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