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• W93530381 abstract "This paper deals with a multivariate Gaussian observation model where the eigenvalues of the covariance matrix are all one, except for a finite number which are larger. Of interest is the asymptotic behavior of the eigenvalues of the sample covariance matrix when the sample size and the dimension of the obser- vations both grow to infinity so that their ratio converges to a positive constant. When a population eigenvalue is above a certain threshold and of multiplicity one, the corresponding sample eigenvalue has a Gaussian limiting distribution. There is a phase transition of the sample eigenvectors in the same setting. Another contribution here is a study of the second order asymptotics of sample eigenvectors when corresponding eigenvalues are simple and sufficiently l arge." @default.
• W93530381 created "2016-06-24" @default.
• W93530381 creator A5075401010 @default.
• W93530381 date "2007-01-01" @default.
• W93530381 modified "2023-09-26" @default.
• W93530381 title "ASYMPTOTICS OF SAMPLE EIGENSTRUCTURE FOR A LARGE DIMENSIONAL SPIKED COVARIANCE MODEL" @default.
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