On the convergence of the extremal eigenvalues of empirical covariance matrices with dependence
From MaRDI portal
Publication:2413247
DOI10.1007/s00440-017-0778-9zbMath1384.15008arXiv1509.02231OpenAlexW2124636303MaRDI QIDQ2413247
Konstantin Tikhomirov, Djalil Chafaï
Publication date: 10 April 2018
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1509.02231
covariance matrixconvex bodyrandom matrixoperator normsingular valueSherman-Morrison formuladependencelog-concave distributionthin-shell inequality
Random matrices (probabilistic aspects) (60B20) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)
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