Convergence of Sample Eigenvectors of Spiked Population Model

Xue Ding

Communications in Statistics - Theory and Methods, 2015, vol. 44, issue 18, 3825-3840

Abstract: In this paper, for the general non Gaussian spiked population model, where a few fixed eigenvalues of the population covariance matrix are separated from others, we investigate the convergence properties of the eigenvectors of sample covariance matrices corresponding to the spiked population eigenvalues and angle between the population eigenvectors and sample eigenvectors as both the sample size and population size are large.

Date: 2015
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DOI: 10.1080/03610926.2013.833240

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