Back to Search
Start Over
Limiting laws for extreme eigenvalues of large-dimensional spiked Fisher matrices with a divergent number of spikes
- 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 :
- Mathematics - Statistics Theory
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2009.10285
- Document Type :
- Working Paper