For sample covariance matrices with convexly decaying population spectrum, the top eigenvalues exhibit Weibull fluctuations above a critical aspect ratio d_+ and Gaussian fluctuations below it.
Title resolution pending
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
math.PR 1years
2019 1verdicts
CONDITIONAL 1representative citing papers
citing papers explorer
-
Extremal eigenvalues of sample covariance matrices with general population
For sample covariance matrices with convexly decaying population spectrum, the top eigenvalues exhibit Weibull fluctuations above a critical aspect ratio d_+ and Gaussian fluctuations below it.