Tracy-Widom law for the extreme eigenvalues of sample correlation matrices

Let the sample correlation matrix be W = YYT, where Y = (yij)p,n with yij = xij /√∑xij2. We assume {xij : 1 ≤ i ≤ p, 1 ≤ j ≤ n} to be a collection of independent symmetrically distributed random variables with sub-exponential tails. Moreover, for any i, we assume xij, 1 ≤ j ≤ n to be identically dis...

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Bibliographic Details
Main Authors: Bao, Zhigang, Pan, Guangming, Zhou, Wang
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2013
Online Access:https://hdl.handle.net/10356/96096
http://hdl.handle.net/10220/10085
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Institution: Nanyang Technological University
Language: English