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Asymptotics of eigenstructure of sample correlation matrices for high-dimensional spiked models

Sample correlation matrices are widely used, but for high-dimensional data little is known about their spectral properties beyond “null models”, which assume the data have independent coordinates. In the class of spiked models, we apply random matrix theory to derive asymptotic first-order and distr...

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Bibliografiset tiedot
Julkaisussa:Stat Sin
Päätekijät: Morales-Jimenez, David, Johnstone, Iain M., McKay, Matthew R., Yang, Jeha
Aineistotyyppi: Artigo
Kieli:Inglês
Julkaistu: 2021
Aiheet:
Linkit:https://ncbi.nlm.nih.gov/pmc/articles/PMC8026145/
https://ncbi.nlm.nih.gov/pubmed/33833489
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.5705/ss.202019.0052
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