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On the Asymptotic Behavior of the Sample Estimates of Eigenvalues and Eigenvectors of Covariance Matrices

✍ Scribed by Mestre, X.

Book ID
119823109
Publisher
IEEE
Year
2008
Tongue
English
Weight
918 KB
Volume
56
Category
Article
ISSN
1053-587X

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## Abstract Let __Ξ»__ be an eigenvalue of an infinite Toeplitz band matrix __A__ and let __Ξ»~n~__ be an eigenvalue of the __n__ Γ—__n__ truncation __A~n~__ of __A__ . Suppose __Ξ»~n~__ converges to __Ξ»__ as __n__ β†’ ∞. We show that generically the eigenspaces for __Ξ»~n~__ are onedimensional and contai