Timeline for Local distribution of sample covariance matrix when the number of observations/realisations is less than the matrix dimension
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Jun 5, 2018 at 11:23 | comment | added | Carlo Beenakker | I found a reference for this distribution in the complex case: arxiv.org/abs/0803.4155 --- and also in the real case: arxiv.org/abs/1203.0839 | |
| Jun 5, 2018 at 11:21 | comment | added | SC_thesard | Just to make my question clear, there is an asympotic of the largest eigenvalue of Wishart matrix under the assumption $n>p$, is there any result similar when $n<p$? | |
| Jun 5, 2018 at 11:16 | comment | added | SC_thesard | Thank you very much for your answer, is there any result about the local distribution of eigenvalues in this case (mean, variance, covariance)? | |
| Jun 5, 2018 at 9:45 | history | answered | Carlo Beenakker | CC BY-SA 4.0 |