Eigenvalues of large sample covariance matrices of spiked population models

Jinho Baik and Jack W. Silverstein

Journal of Multivariate Analysis, 2006, vol. 97, issue 6, 1382-1408

Abstract: We consider a spiked population model, proposed by Johnstone, in which all the population eigenvalues are one except for a few fixed eigenvalues. The question is to determine how the sample eigenvalues depend on the non-unit population ones when both sample size and population size become large. This paper completely determines the almost sure limits of the sample eigenvalues in a spiked model for a general class of samples.

Keywords: Eigenvalues; Sample; covariance; matrices; Spiked; population; models; Almost; sure; limits; Non-null; case (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (63)

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