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• W2897959216 abstract "We study the sample covariance matrix for real-valued data with general population covariance, as well as MANOVA-type covariance estimators in variance components models under null hypotheses of global sphericity. In the limit as matrix dimensions increase proportionally, the asymptotic spectra of such estimators may have multiple disjoint intervals of support, possibly intersecting the negative half line. We show that the distribution of the extremal eigenvalue at each regular edge of the support has a GOE Tracy–Widom limit. Our proof extends a comparison argument of Ji Oon Lee and Kevin Schnelli, replacing a continuous Green function flow by a discrete Lindeberg swapping scheme." @default.
• W2897959216 created "2018-10-26" @default.
• W2897959216 creator A5035337773 @default.
• W2897959216 creator A5047187143 @default.
• W2897959216 date "2022-08-01" @default.
• W2897959216 modified "2023-10-05" @default.
• W2897959216 title "Tracy–Widom at each edge of real covariance and MANOVA estimators" @default.
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• W2897959216 doi "https://doi.org/10.1214/21-aap1754" @default.
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• W2897959216 hasPublicationYear "2022" @default.
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