Eigenvalues of large sample covariance matrices of spiked population models

被引：406

作者：

Baik, Jinho ^{[1
]}

Silverstein, Jack W.

机构：

[1] Univ Michigan, Dept Math, Ann Arbor, MI 48109 USA

[2] N Carolina State Univ, Dept Math, Raleigh, NC 27695 USA

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 2006年 / 97卷 / 06期

基金：

美国国家科学基金会;

关键词：

eigenvalues; sample covariance matrices; spiked population models; almost sure limits; non-null case;

D O I：

10.1016/j.jmva.2005.08.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider a spiked population model, proposed by Johnstone, in which all the population eigen-values are one 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 of the sample eigenvalues in a spiked model for a general class of samples. (c) 2005 Elsevier Inc. All rights reserved.

引用

页码：1382 / 1408

页数：27

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