Principal components of spiked covariance matrices in the supercritical regime

Published 29 Jul 2019 in math.ST, math.PR, and stat.TH | (1907.12251v2)

Abstract: In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the spiked covariance matrices, in the supercritical regime. Specifically, we derive the joint distribution of the extreme eigenvalues and the generalized components of their associated eigenvectors in this regime.

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