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Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes

Authors :
Xie, Junshan
Zeng, Yicheng
Zhu, Lixing
Publication Year :
2020

Abstract

Consider the $p\times p$ matrix that is the product of a population covariance matrix and the inverse of another population covariance matrix. Suppose that their difference has a divergent rank with respect to $p$, when two samples of sizes $n$ and $T$ from the two populations are available, we construct its corresponding sample version. In the regime of high dimension where both $n$ and $T$ are proportional to $p$, we investigate the limiting laws for extreme (spiked) eigenvalues of the sample (spiked) Fisher matrix when the number of spikes is divergent and these spikes are unbounded.

Subjects

Subjects :
Mathematics - Statistics Theory

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.2009.10285
Document Type :
Working Paper