Topics in spectral analysis of large sample covariance matrices

• 主要作者: Lin, Zeqin
• 其他作者: Pan Guangming
• 格式: Thesis-Doctor of Philosophy
• 語言: English
• 出版: Nanyang Technological University 2024
• 主題: Mathematical Sciences; Random matrix theory; High dimensional statistics; Sample covariance matrices
• 在線閱讀: https://hdl.handle.net/10356/181489

This thesis addresses two topics concerning spectral properties of sample covariance matrices when the data dimensionality M scales proportionally with the sample size N. In the first part, we consider the left and right singular vectors u_i and v_i of an M×N data matrix Y=Σ^(1/2) X. We establish th...