CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures

DOI10.1016/j.jmva.2022.105127OpenAlexW4308738789MaRDI QIDQ2101482

Junpeng Zhu, Wei-Ming Li

Publication date: 6 December 2022

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2022.105127

zbMATH Keywords

Gaussian mixturecentral limit theoremlarge covariance matrixspiked eigenvalues

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Random matrices (probabilistic aspects) (60B20) Multivariate analysis (62Hxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Fluctuations of the extreme eigenvalues of finite rank deformations of random matrices
• Extreme eigenvalues of large-dimensional spiked Fisher matrices with application
• The eigenvalues and eigenvectors of finite, low rank perturbations of large random matrices
• Eigenvectors of some large sample covariance matrix ensembles
• Central limit theorem for Hotelling's \(T^{2}\) statistic under large dimension
• Central limit theorems for eigenvalues in a spiked population model
• On sample eigenvalues in a generalized spiked population model
• Spectral analysis of large dimensional random matrices
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Canonical correlation coefficients of high-dimensional Gaussian vectors: finite rank case
• On the distribution of the largest eigenvalue in principal components analysis
• CLT for linear spectral statistics of large-dimensional sample covariance matrices.
• Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
• Spiked separable covariance matrices and principal components
• Generalized four moment theorem and an application to CLT for spiked eigenvalues of high-dimensional covariance matrices
• The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications
• On asymptotics of eigenvectors of large sample covariance matrix
• Eigenvalues of large sample covariance matrices of spiked population models
• A Regularized Hotelling’sT²Test for Pathway Analysis in Proteomic Studies

This page was built for publication: CLT for spiked eigenvalues of a sample covariance matrix from high-dimensional Gaussian mean mixtures