Statistical Eigen-Inference from Large Wishart Matrices
We consider settings where the observations are drawn from a zero-mean multivariate (real or complex) normal distribution with the population covariance matrix having eigenvalues of arbitrary multiplicity. We assume that the eigenvectors of the population covariance matrix are unknown and focus on i...
| Veröffentlicht in: | The Annals of Statistics. - Institute of Mathematical Statistics. - 36(2008), 6, Seite 2850-2885 |
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| Weitere Verfasser: | , , |
| Format: | Online-Aufsatz |
| Sprache: | English |
| Veröffentlicht: |
2008
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| Zugriff auf das übergeordnete Werk: | The Annals of Statistics |
| Schlagworte: | Sample covariance matrices Random matrix theory Wishart matrices Second order freeness Free probability Eigen-inference Linear statistics Mathematics Social sciences Behavioral sciences |
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