Edgeworth correction for the largest eigenvalue in a spiked PCA model

DOI10.5705/SS.202017.0296zbMath1406.62065arXiv1710.06899OpenAlexW2964026436WikidataQ64938245 ScholiaQ64938245MaRDI QIDQ4558600

Jeha Yang, Iain M. Johnstone

Publication date: 22 November 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.06899

zbMATH Keywords

covariance matrixEdgeworth expansionRoy's statisticspiked PCA model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Approximations to statistical distributions (nonasymptotic) (62E17)

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A CLT for the LSS of large-dimensional sample covariance matrices with diverging spikes ⋮ Fluctuations for differences of linear eigenvalue statistics for sample covariance matrices

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