Tail sums of Wishart and Gaussian eigenvalues beyond the bulk edge

DOI10.1111/anzs.12201OpenAlexW2963899107WikidataQ91115522 ScholiaQ91115522MaRDI QIDQ4639815

Iain M. Johnstone

Publication date: 11 May 2018

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1704.06398

zbMATH Keywords

orthogonal ensembleTracy-Widom distributioncovariance estimationspiked modelhigh-dimensional asymptotics

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

Matrix Denoising for Weighted Loss Functions and Heterogeneous Signals

Uses Software

• DLMF

Cites Work

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• Peter Hall's work on high-dimensional data and classification
• A limit theorem for the norm of random matrices
• No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
• Level-spacing distributions and the Airy kernel
• Correlation functions, cluster functions, and spacing distributions for random matrices
• On the relation between orthogonal, symplectic and unitary matrix ensembles
• On the distribution of the largest eigenvalue in principal components analysis
• On orthogonal and symplectic matrix ensembles
• Optimal shrinkage of eigenvalues in the spiked covariance model
• On the Numerical Evaluation of Distributions in Random Matrix Theory: A Review
• On the Probability That All Eigenvalues of Gaussian, Wishart, and Double Wishart Random Matrices Lie Within an Interval
• Index distribution of Cauchy random matrices

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