Some Applications of Watson's Perturbation Approach to Random Matrices

In this note we draw attention to Watson's (1983) perturbation approach to random matrices, by which the asymptotic distribution of eigenvalues and eigenvectors can be derived in a very elegant way. We extend his result to functions of matrices and give some applications in principal component analysis, multivariate analysis, and canonical correlations.

MoreLess

Year of publication:	1997
Authors:	Ruymgaart, Frits H. ; Yang, Song
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 60.1997, 1, p. 48-60
Publisher:	Elsevier
Keywords:	perturbations principal component analysis robustness random matrices

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005153295