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Determining the Number of Factors from Empirical Distribution of Eigenvalues

✍ Scribed by Onatski, Alexei

Book ID
121413746
Publisher
MIT Press
Year
2010
Tongue
English
Weight
470 KB
Volume
92
Category
Article
ISSN
0034-6535

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Let \(X\) be \(n \times N\) containing i.i.d. complex entries with \(\mathbf{E}\left|X_{11}-\mathbf{E} X_{11}\right|^{2}=1\), and \(T\) an \(n \times n\) random Hermitian nonnegative definite, independent of \(X\). Assume, almost surely, as \(n \rightarrow \infty\), the empirical distribution functi