Some Applications of Watson's Perturbation Approach to Random Matrices

Frits H. Ruymgaart and Song Yang

Journal of Multivariate Analysis, 1997, vol. 60, issue 1, 48-60

Abstract: In this note we draw attention to Watson's (1983) perturbation approach to random matrices, by which the asymptotic distribution of eigenvalues and eigenvectors can be derived in a very elegant way. We extend his result to functions of matrices and give some applications in principal component analysis, multivariate analysis, and canonical correlations.

Keywords: perturbations; principal; component; analysis; robustness; random; matrices (search for similar items in EconPapers)
Date: 1997
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Citations: View citations in EconPapers (6)

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