Eigenvectors of some large sample covariance matrix ensembles
type: Item
instance of: scholarly article
title: Eigenvectors of some large sample covariance matrix ensembles
zbMATH Open document ID: 1229.60009
author: Olivier Ledoit
author: S. Péché
publication date: 2011-11-07T00:00:00Z
full work available at URL: https://arxiv.org/abs/0911.3010
full work available at URL: ZORA NL 156030.pdf
Mathematics Subject Classification ID: 60B20
Mathematics Subject Classification ID: 62J10
Mathematics Subject Classification ID: 15B52
zbMATH DE Number: 5968712
zbMATH Keywords: asymptotic distribution
zbMATH Keywords: bias correction
zbMATH Keywords: eigenvectors and eigenvalues
zbMATH Keywords: principal component analysis
zbMATH Keywords: random matrix theory
zbMATH Keywords: sample covariance matrix
zbMATH Keywords: shrinkage estimator
zbMATH Keywords: Stieltjes transform
MaRDI profile type: Publication
OpenAlex ID: W3121682558
arXiv ID: 0911.3010
cites work: Convergence rate of expected spectral distributions of large random matrices. II: Sample covariance matrices
cites work: Q4267666
cites work: On asymptotics of eigenvectors of large sample covariance matrix
cites work: On the empirical distribution of eigenvalues of a class of large dimensional random matrices
cites work: No eigenvalues outside the support of the limiting spectral distribution of large-dimensional sample covariance matrices
cites work: Exact separation of eigenvalues of large dimensional sample covariance matrices
cites work: CLT for linear spectral statistics of large-dimensional sample covariance matrices.
cites work: Q3551026
cites work: Limit of the smallest eigenvalue of a large dimensional sample covariance matrix
cites work: Regularized estimation of large covariance matrices
cites work: Analysis of the limiting spectral distribution of large dimensional random matrices
cites work: Spectrum estimation for large dimensional covariance matrices using random matrix theory
cites work: Spectral Analysis of Networks with Random Topologies
cites work: On the distribution of the largest eigenvalue in principal components analysis
cites work: A limit theorem for the eigenvalues of product of two random matrices
cites work: Some hypothesis tests for the covariance matrix when the dimension is large compared to the sample size
cites work: A well-conditioned estimator for large-dimensional covariance matrices
cites work: DISTRIBUTION OF EIGENVALUES FOR SOME SETS OF RANDOM MATRICES
cites work: Central limit theorem for signal-to-interference ratio of reduced rank linear receiver
cites work: Universality results for the largest eigenvalues of some sample covariance matrix ensembles
cites work: Some limit theorems on the eigenvectors of large dimensional sample covariance matrices
cites work: On the eigenvectors of large dimensional sample covariance matrices
cites work: Weak convergence of random functions defined by the eigenvectors of sample covariance matrices
cites work: Strong convergence of the empirical distribution of eigenvalues of large dimensional random matrices
cites work: The strong limits of random matrix spectra for sample matrices of independent elements
cites work: Limiting spectral distribution for a class of random matrices
DOI: 10.1007/S00440-010-0298-3
published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
description: scientific article