Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes

Junshan Xie, Yicheng Zeng and Lixing Zhu

Journal of Multivariate Analysis, 2021, vol. 184, issue C

Abstract: Consider the p×p matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to p, when two samples of sizes n and T from the two populations are available, we construct its corresponding sample version. In the high-dimensional regime where both n and T are proportional to p, we investigate the limiting laws for extreme (spiked) eigenvalues of the sample (spiked) Fisher matrix when the number of spikes is divergent and these spikes are unbounded. We derive the convergence in probability of these spiked eigenvalues after scaling, and the central limit theorem for normalized spiked eigenvalues.

Keywords: Extreme eigenvalue; Fisher matrix; Phase transition phenomenon; Random matrix theory; Spiked population model (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.jmva.2021.104742

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