Eigenvalues of Large Sample Covariance Matrices of Spiked Population Models

Details Eigenvalues of Large Sample Covariance Matrices of Spiked Population Models Eigenvalues of Large Sample Covariance Matrices of Spiked Population Models

2004-08-12

arxiv.org/abs/math/0408165v1

Mathematics

Statistics Theory

24 pages, 6 figures

Scientific paper

We consider a spiked population model, proposed by Johnstone, whose population eigenvalues are all unit except for a few fixed eigenvalues. The question is to determine how the sample eigenvalues depend on the non-unit population ones when both sample size and population size become large. This paper completely determines the almost sure limits for a general class of samples.

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