The largest eigenvalues of sample covariance matrices for a spiked population: diagonal case.
Langue
en
Document de travail - Pré-publication
Résumé en anglais
We consider large complex random sample covariance matrices obtained from ``spiked populations'', that is when the true covariance matrix is diagonal with all but finitely many eigenvalues equal to one. We investigate the ...Lire la suite >
Mots clés en anglais
sample covariance matrices from a spiked population
universality of the fluctuations of the largest eigenvalues