Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data

2018/10/24 by Iain M. Johnstone, Johnstone, Iain M., Jeha Yang +1 · 1 citation
Mathematics · #FOS: Mathematics #Statistics Theory (math.ST) #math.ST #stat.TH

paper · pdf · doi:10.48550/arxiv.1810.10427

Cross-reference added

arxiv created 2018/10/25 · arxiv updated 2018/10/26

Abstract

These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sample leading eigenvalues and certain projections of the corresponding sample eigenvectors. The results parallel those of Paul [2007], but are given using the non-Gaussian model of Bai and Yao [2008]. The results are not new, and citations are given, but proofs are collected and organized as a point of departure for Morales-Jimenez et al. [2018].

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