Principal components of spiked covariance matrices in the supercritical regime

2019/07/29 by Zhigang Bao, Xiucai Ding, Bao, Zhigang +5 · 2 citations
Mathematics · #FOS: Mathematics #Probability (math.PR) #Statistics Theory (math.ST) #math.PR #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1907.12251

This paper has been included in arXiv: 2008.11903 as a special case. Hence, this paper will not be published separately

arxiv created 2020/08/28 · arxiv updated 2020/08/31

Abstract

In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the spiked covariance matrices, in the supercritical regime. Specifically, we derive the joint distribution of the extreme eigenvalues and the generalized components of their associated eigenvectors in this regime.

Citations

• Statistical inference for principal components of spiked covariance matrices

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• Statistical inference for principal components of spiked covariance matrices
• Signal detection from spiked noise via asymmetrization

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