On Limit of the Largest Eigenvalue of the Large Dimensional Sample Covariance Matrix.
Abstract
The authors showed that the largest eigenvalue of the sample covariance matrix tends to a limit under certain conditions when both the number of variables and the sample size tend to infinity. The above result is proved under the mild restriction that the fourth moment of the elements of the sample sums of squares and cross products (SP) matrix exist. Key words include: Largest eigenvalue, Sample covariance matrix, Large dimensional random matrices, Limit.
Document Details
- Document Type
- Technical Report
- Publication Date
- Oct 01, 1984
- Accession Number
- ADA150589
Entities
People
- Paruchuri R. Krishnaiah
- Y. Q. Yin
- Z. D. Bai
Organizations
- University of Pittsburgh