Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix
Work
Year: 1993
Type: article
Abstract: In this paper, the authors show that the smallest (if $p \leq n$) or the $(p - n + 1)$-th smallest (if $p > n$) eigenvalue of a sample covariance matrix of the form $(1/n)XX'$ tends almost surely to t... more
Source: The Annals of Probability
Authors Zhidong Bai, Yanqing Yin
Cites:
Cited by: 549
Related to: 10
FWCI: 0.803
Citation percentile (by year/subfield): 96.83
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: bronze