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A Universality Result for the Smallest Eigenvalues of Certain Sample Covariance Matrices

✍ Scribed by Ohad N. Feldheim; Sasha Sodin


Publisher
Springer
Year
2010
Tongue
English
Weight
494 KB
Volume
20
Category
Article
ISSN
1016-443X

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Covariance matrices, or in general matrices of sums of squares and cross-products, are used as input in many multivariate analyses techniques. The eigenvalues of these matrices play an important role in the statistical analysis of data including estimation and hypotheses testing. It has been recogni