Title of article
Eigenvalues of large sample covariance matrices of spiked population models
Author/Authors
Baik، نويسنده , , Jinho and Silverstein، نويسنده , , Jack W.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2006
Pages
27
From page
1382
To page
1408
Abstract
We consider a spiked population model, proposed by Johnstone, in which all the population eigenvalues 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.
Keywords
eigenvalues , Sample covariance matrices , Spiked population models , Almost sure limits , Non-null case
Journal title
Journal of Multivariate Analysis
Serial Year
2006
Journal title
Journal of Multivariate Analysis
Record number
1558452
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