ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS-Reference-Cited by-同舟云学术

ESTIMATION OF SPIKED EIGENVALUES IN SPIKED MODELS

Published:2012-04 Issue:02 Volume:01 Page:1150011
ISSN:2010-3263
Container-title:Random Matrices: Theory and Applications
language:en
Short-container-title:Random Matrices: Theory Appl.

Author:

BAI ZHIDONG¹²,DING XUE³⁴

Affiliation:

1. KLASMOE and School of Mathematics and Statistics, Northeast Normal University, 5268 Peoples Road, 130024 Changchun, China

2. Department of Statistics and Applied Probability, National University of Singapore, 10 Kent Ridge Crescent, Singapore 119260, Singapore

3. School of Mathematics, Jilin University, 2699 Qianjin Street, 130012 Changchun, China

4. School of Mathematics and Statistics, Northeast Normal University, 5268 Peoples Road, 130024 Changchun, China

Abstract

The paper proposes new estimators of spiked eigenvalues of the population covariance matrix from the sample covariance matrix and investigates its consistency and asymptotic normality.

Publisher

World Scientific Pub Co Pte Lt

Subject

Discrete Mathematics and Combinatorics,Statistics, Probability and Uncertainty,Statistics and Probability,Algebra and Number Theory

Link

https://www.worldscientific.com/doi/pdf/10.1142/S2010326311500110

Reference27 articles.

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