Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
Asymptotic analysis for extreme eigenvalues of principal minors of random matrices
Consider a standard white Wishart matrix with parameters n and p. Motivated by applications in high-dimensional statistics and signal processing, we perform asymptotic analysis on the maxima and minima of the eigenvalues of all the m×m principal minors, under the asymptotic regime that n, p, m go to infinity. Asymptotic …