Asymptotic joint distribution of extreme eigenvalues and trace of large sample covariance matrix in a generalized spiked population model

DOI10.1214/19-AOS1882zbMath1465.62045arXiv1906.09639OpenAlexW3112222008MaRDI QIDQ1996762

Fang Han, Zeng Li, Jian-feng Yao

Publication date: 26 February 2021

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1906.09639

zbMATH Keywords

asymptotic distributiontracerandom matrix theoryextreme eigenvalueslarge sample covariance matrixgeneralized spiked model

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Statistics of extreme values; tail inference (62G32) Large deviations (60F10) Random matrices (algebraic aspects) (15B52)

Related Items (3)

Statistical inference for principal components of spiked covariance matrices ⋮ A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes ⋮ Asymptotic independence of spiked eigenvalues and linear spectral statistics for large sample covariance matrices

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