• 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