On the eigenvectors of large dimensional sample covariance matrices

Jack W. Silverstein

Journal of Multivariate Analysis, 1989, vol. 30, issue 1, 1-16

Abstract: Let {vij}, i, J = 1,2, ..., be i.i.d. random variables, and for each n let Mn = (1/s)VnVnT, where Vn = (vij), i = 1, 2, ..., n, j = 1, 2, ..., s = s(n), and n/s --> y > 0 as n --> [infinity]. Necessary and sufficient conditions are given to establish the convergence in distribution of certain random variables defined by Mn. When E(v114)

Keywords: behavior; of; eigenvectors; Brownian; bridge; convergence; in; distribution (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (19)

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