Statistical eigen-inference from large Wishart matrices
نویسندگان
چکیده
منابع مشابه
Statistical eigen-inference from large Wishart matrices
The asymptotic behavior of the eigenvalues of a sample covariance matrix is described when the observations are from a zero mean multivariate (real or complex) normal distribution whose covariance matrix has population eigenvalues of arbitrary multiplicity. In particular, the asymptotic normality of the fluctuation in the trace of powers of the sample covariance matrix from the limiting quantit...
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Free probability provides tools and techniques for studying the spectra of large Hermitian random matrices. These stochastic eigen-analysis techniques have been invaluable in providing insight into the structure of sample covariance matrices. We briefly outline how these techniques can be used to analytically predict the spectrum of large sample covariance matrices. We discuss how these eigen-a...
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Multivariate statistical analysis is concerned with observations on several variables which are thought to possess some degree of inter-dependence. Driven by problems in genetics and the social sciences, it first flowered in the earlier half of the last century. Subsequently, random matrix theory (RMT) developed, initially within physics, and more recently widely in mathematics. While some of t...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2008
ISSN: 0090-5364
DOI: 10.1214/07-aos583