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Eigenvalues of large sample covariance matrices of spiked population models
Open accessAbstract
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.
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Cited by
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Metadata
- Authors
- Baik, J., & Silverstein, J. W.
- Venue
- Journal of Multivariate Analysis
- Publisher
- Elsevier BV
- Published
- 2006-07
- Volume
- 97
- Issue
- 6
- Pages
- 1382-1408
- ISSN
- 0047-259X (ISSN-L)
- OpenAlex
- W2106084579
- Cited by
- 701
- References
- 0
- FWCI
- 13.11
- Type
- journal article
- Language
- en
- Open access
- bronze
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- Baik, J., & Silverstein, J. W. (2006). Eigenvalues of large sample covariance matrices of spiked population models. Journal of Multivariate Analysis. https://doi.org/10.1016/j.jmva.2005.08.003
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