The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case
The largest eigenvalues of sample covariance matrices for a spiked population: Diagonal case
We consider large complex random sample covariance matrices obtained from "spiked populations", that is when the true covariance matrix is diagonal with all but finitely many eigenvalues equal to one. We investigate the limiting behavior of the largest eigenvalues when the population and the sample sizes both become large. Under …