On the principal components of sample covariance matrices

Alex Bloemendal, Antti Knowles, Horng‐Tzer Yau, Jun Yin

Type: Preprint

Publication Date: 2014-01-01

Citations: 4

DOI: https://doi.org/10.48550/arxiv.1404.0788

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arXiv (Cornell University) - View
Digital Access to Scholarship at Harvard (DASH) (Harvard University) - View - PDF
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+	Isotropic Local Laws for Sample Covariance and Generalized Wigner Matrices	2013	Alex Bloemendal László Erdős Antti Knowles Horng‐Tzer Yau Jun Yin
+	Large complex correlated Wishart matrices: Fluctuations and asymptotic independence at the edges	2016	Walid Hachem Adrien Hardy Jamal Najım
+ PDF Chat	A Survey on the Eigenvalues Local Behavior of Large Complex Correlated Wishart Matrices	2015	Walid Hachem Adrien Hardy Jamal Najım
+	Tracy-Widom Distribution for the Largest Eigenvalue of Real Sample Covariance Matrices with General Population	2014	Ji Oon Lee Kevin Schnelli

Works Cited by This (38)

Action	Title	Year	Authors
+ PDF Chat	On the distribution of the largest eigenvalue in principal components analysis	2001	Iain M. Johnstone
+	Asymptotic Joint Distribution of Extreme Sample Eigenvalues and Eigenvectors in the Spiked Population Model	2013	Dai Shi
+ PDF Chat	The Eigenvector Moment Flow and Local Quantum Unique Ergodicity	2016	Paul Bourgade H. T. Yau
+	None	2002	Alexander Soshnikov
+	On sample eigenvalues in a generalized spiked population model	2011	Zhidong Bai Jianfeng Yao
+ PDF Chat	The local semicircle law for a general class of random matrices	2013	László Erdős Antti Knowles Horng‐Tzer Yau Jun Yin
+ PDF Chat	Rigidity of eigenvalues of generalized Wigner matrices	2011	László Erdős Horng‐Tzer Yau Jun Yin
+ PDF Chat	Isotropic local laws for sample covariance and generalized Wigner matrices	2014	Alex Bloemendal László Erdős Antti Knowles Horng‐Tzer Yau Jun Yin
+ PDF Chat	Airy Kernel with Two Sets of Parameters in Directed Percolation and Random Matrix Theory	2008	Alexei Borodin Sandrine Péché
+	The outliers of a deformed Wigner matrix	2014	Antti Knowles Jun Yin