Rare-event analysis for extremal eigenvalues of white Wishart matrices
نویسندگان
چکیده
منابع مشابه
Accuracy of the Tracy-Widom limits for the extreme eigenvalues in white Wishart matrices
The distributions of the largest and the smallest eigenvalues of a p-variate sample covariance matrix S are of great importance in statistics. Focusing on the null case where nS follows the standard Wishart distribution Wp(I, n), we study the accuracy of their scaling limits under the setting: n/p → γ ∈ (0,∞) as n → ∞. The limits here are the orthogonal Tracy-Widom law and its reflection about ...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2017
ISSN: 0090-5364
DOI: 10.1214/16-aos1502