The largest eigenvalues of sample covariance matrices for a spiked population: diagonal case.
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Document de travail - Pré-publication
Resumen en inglés
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 ...Leer más >
Palabras clave en inglés
sample covariance matrices from a spiked population
universality of the fluctuations of the largest eigenvalues