A note on the largest eigenvalue of a large dimensional sample covariance matrix

Z. D. Bai, Jack W. Silverstein and Y. Q. Yin

Journal of Multivariate Analysis, 1988, vol. 26, issue 2, 166-168

Abstract: Let {vij; i, J = 1, 2, ...} be a family of i.i.d. random variables with E(v114) = [infinity]. For positive integers p, n with p = p(n) and p/n --> y > 0 as n --> [infinity], let Mn = (1/n) Vn VnT , where Vn = (vij)1

Keywords: sample; covariance; matrix; largest; eigenvalue (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (33)

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