Topics in spectral analysis of large sample covariance matrices

• Main Author: Lin, Zeqin
• Other Authors: Pan Guangming
• Format: Thesis-Doctor of Philosophy
• Language: English
• Published: Nanyang Technological University 2024
• Subjects: Mathematical Sciences; Random matrix theory; High dimensional statistics; Sample covariance matrices
• Online Access: https://hdl.handle.net/10356/181489
• Institution: Nanyang Technological University

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...