Take the 2-minute tour ×
MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

My question may be a bit lousy. Suppose we have a set of statistical variables X1, X2, .. Xn, and we have N independent samples. We can compute the covariance matrix of {X}. My question is: Is there a reliable way to evaluate the fluctuation in the eigenvalues of the covariance matrix? What is minimum number of N needed for the size of the matrix nxn?

share|improve this question
add comment

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.