On the distribution of the largest eigenvalue in principal components analysis
On the distribution of the largest eigenvalue in principal components analysis
Let x(1) denote the square of the largest singular value of an n Ă— p matrix X, all of whose entries are independent standard Gaussian variates. Equivalently, x(1) is the largest principal component variance of the covariance matrix $X'X$, or the largest eigenvalue of a pÂvariate Wishart distribution on n …