Universality for the largest eigenvalue of sample covariance matrices with general population

• Main Authors: Bao, Zhigang, Pan, Guangming, Zhou, Wang
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2015
• Subjects: DRNTU::Science::Mathematics::Statistics
• Online Access: https://hdl.handle.net/10356/106732; http://hdl.handle.net/10220/25091
• Institution: Nanyang Technological University

This paper is aimed at deriving the universality of the largest eigenvalue of a class of high-dimensional real or complex sample covariance matrices of the form WN = Σ 1 /2 XX* Σ 1/2. Here, X = (xij)M,N is an M x N random matrix with independent entries xij, 1 ≤ i ≤ M, 1 ≤ j ≤ N such that Exij = 0,...