Rank 1 real Wishart spiked model

DOI10.1002/cpa.21415zbMath1257.15020arXiv1101.5144OpenAlexW2006344409MaRDI QIDQ3165463

Man Yue Mo

Publication date: 26 October 2012

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.5144

zbMATH Keywords

asymptotic behaviorprincipal component analysiseigenvalue distributionphase transitioncovariance matrixWishart matrixMarchenko-Pastur lawlargest value distribution

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Random matrices (probabilistic aspects) (60B20) Eigenvalues, singular values, and eigenvectors (15A18) Phase transitions (general) in equilibrium statistical mechanics (82B26) Random matrices (algebraic aspects) (15B52) Analysis of variance and covariance (ANOVA) (62J10)

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