Eigenvalues of Large Sample Covariance Matrices of Spiked Population Models

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We consider a spiked population model, proposed by Johnstone, whose population eigenvalues are all unit except for a few fixed eigenvalues. The question is to determine how the sample eigenvalues depend on the non-unit population ones when both sample size and population size become large. This paper completely determines the almost sure limits for a general class of samples.
24 pages, 6 figures

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Statistics Theory, Probability, 15A52, 60F15, 62H99

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http://salesiana.dossiersoluciones.com/handle/123456789/130605

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0408165
 http://arxiv.org/abs/math/0408165

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arXiv