Large deviations of extremal eigenvalues of sample covariance matrices

被引：0
|
作者：
Uwamariya, Denise [1 ,2 ]
Yang, Xiangfeng [1 ,2 ]
机构：
[1] Linkoping Univ, Linkoping, Sweden
[2] Linkoping Univ, Dept Math, SE-58183 Linkoping, Sweden
来源：
JOURNAL OF APPLIED PROBABILITY | 2023年 / 60卷 / 04期
关键词：
Large deviations; sample covariance matrices; extremal eigenvalues; LIMIT;
D O I：
10.1017/jpr.2022.130
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Large deviations of the largest and smallest eigenvalues of XX inverted perpendicular /n are studied in this note, where X-pxn is a p x n random matrix with independent and identically distributed (i.i.d.) sub-Gaussian entries. The assumption imposed on the dimension size p and the sample size n is p= p(n).8 with p(n) -> infinity with p(n) =o(n). This study generalizes one result obtained in [3].
引用
收藏
页码：1275 / 1280
页数：6
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