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Eigenvalues of large sample covariance matrices of spiked population models

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.
Year of publication:
2006
Authors: Baik, Jinho ; Silverstein, Jack W.
Published in:
Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 97.2006, 6, p. 1382-1408
Publisher: Elsevier
Keywords: Eigenvalues Sample covariance matrices Spiked population models Almost sure limits Non-null case
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005021306
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