Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes

DOI10.1016/j.jmva.2021.104742zbMath1467.62094arXiv2009.10285OpenAlexW3135876950MaRDI QIDQ2034460

Junshan Xie, Yicheng Zeng, Li Xing Zhu

Publication date: 22 June 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2009.10285

zbMATH Keywords

random matrix theoryFisher matrixspiked population modelextreme eigenvaluephase transition phenomenon

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Inequalities involving eigenvalues and eigenvectors (15A42) Large deviations (60F10)

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Order determination for spiked-type models with a divergent number of spikes ⋮ A Pairwise Hotelling Method for Testing High-Dimensional Mean Vectors

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