pith. sign in

arxiv: 1810.10427 · v2 · pith:BPVGX2QVnew · submitted 2018-10-24 · 🧮 math.ST · stat.TH

Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data

classification 🧮 math.ST stat.TH
keywords resultssamplecovariancegivenmodelmorales-jimeneznon-gaussiannotes
0
0 comments X
read the original abstract

These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sample leading eigenvalues and certain projections of the corresponding sample eigenvectors. The results parallel those of Paul [2007], but are given using the non-Gaussian model of Bai and Yao [2008]. The results are not new, and citations are given, but proofs are collected and organized as a point of departure for Morales-Jimenez et al. [2018].

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.