Large deviations of extremal eigenvalues of sample covariance matrices

DOI10.1017/jpr.2022.130OpenAlexW4366830229MaRDI QIDQ6148875

Xiangfeng Yang, Denise Uwamariya

Publication date: 12 January 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/jpr.2022.130

zbMATH Keywords

extremal eigenvalueslarge deviationssample covariance matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Large deviations (60F10) Conditioning of matrices (15A12)

Cites Work

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• Large-deviation asymptotics of condition numbers of random matrices
• Covering a sphere with spheres
• On a Heuristic Method of Test Construction and its use in Multivariate Analysis

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