Comments on a result of Yin, Bai, and Krishnaiah for large dimensional multivariate F matrices

Jack W. Silverstein

Journal of Multivariate Analysis, 1984, vol. 15, issue 3, 408-409

Abstract: A theorem in [1] shows that the smallest eigenvalue of a class of large dimensional sample covariance matrices stays almost surely bounded away from zero. The theorem assumes a certain restriction on the class of matrices. With slight modifications of the proof in op cit, it is shown here that the theorem is true for all relevant matrices.

Keywords: large; dimensional; sample; covariance; matrices; smallest; eigen-value (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (1)

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