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On the eigenvectors of large dimensional sample covariance matrices

✍ Scribed by Jack W. Silverstein


Publisher
Elsevier Science
Year
1989
Tongue
English
Weight
760 KB
Volume
30
Category
Article
ISSN
0047-259X

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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