The Tracy--Widom limit for the largest eigenvalues of singular complex Wishart matrices
| dc.creator | Onatski, Alexei | |
| dc.date | 2008-03-28 | |
| dc.date.accessioned | 2026-07-07T12:17:56Z | |
| dc.date.available | 2026-07-07T12:17:56Z | |
| dc.description | This paper extends the work of El Karoui [Ann. Probab. 35 (2007) 663--714] which finds the Tracy--Widom limit for the largest eigenvalue of a nonsingular $p$-dimensional complex Wishart matrix $W_{\mathbb{C}}(Ω_p,n)$ to the case of several of the largest eigenvalues of the possibly singular $(n<p)$ matrix $W_{\mathbb{C}}(Ω_p,n).$ As a byproduct, we extend all results of Baik, Ben Arous and Peche [Ann. Probab. 33 (2005) 1643--1697] to the singular Wishart matrix case. We apply our findings to obtain a 95% confidence set for the number of common risk factors in excess stock returns. | |
| dc.description | Published in at http://dx.doi.org/10.1214/07-AAP454 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0803.4155 | |
| dc.identifier | http://arxiv.org/abs/0803.4155 | |
| dc.identifier | Annals of Applied Probability 2008, Vol. 18, No. 2, 470-490 | |
| dc.identifier | doi:10.1214/07-AAP454 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/212247 | |
| dc.subject | Probability | |
| dc.subject | 60F05, 62E20 (Primary) | |
| dc.title | The Tracy--Widom limit for the largest eigenvalues of singular complex Wishart matrices | |
| dc.type | text |