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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| Main Authors: | , , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2013
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| Online Access: | https://hdl.handle.net/10356/96096 http://hdl.handle.net/10220/10085 |
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| Institution: | Nanyang Technological University |
| Language: | English |