A note on spiked Wishart matrices

DOI10.1016/j.spl.2017.03.019zbMath1380.60014OpenAlexW2603443202MaRDI QIDQ2406768

Dang-Zheng Liu, Yan-Hui Wang

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.03.019

zbMATH Keywords

largest eigenvalueGUEBBP phase transitionsample covariance matrices

Mathematics Subject Classification ID

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

Cites Work

• On the condition number of the critically-scaled Laguerre unitary ensemble
• Limits of spiked random matrices. II
• The largest eigenvalue of real symmetric, Hermitian and Hermitian self-dual random matrix models with rank one external source. I
• Central limit theorems for eigenvalues in a spiked population model
• Convergence of the largest eigenvalue of normalized sample covariance matrices when \(p\) and \(n\) both tend to infinity with their ratio converging to zero
• Phase transition of the largest eigenvalue for nonnull complex sample covariance matrices
• Rank 1 real Wishart spiked model
• Unnamed Item

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