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arXiv · 1810.10427

Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data

Iain M. Johnstone·Jeha Yang
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Abstract

These expository notes serve as a reference for an accompanying post Morales-Jimenez et al. [2018]. In the spiked covariance model, we develop results on asymptotic normality of sample leading eigenvalues and certain projections of the corresponding sample eigenvectors. The results parallel those of Paul [2007], but are given using the non-Gaussian model of Bai and Yao [2008]. The results are not new, and citations are given, but proofs are collected and organized as a point of departure for Morales-Jimenez et al. [2018].

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Iain M. Johnstone, Jeha Yang. 2018-10-24. Notes on asymptotics of sample eigenstructure for spiked covariance models with non-Gaussian data. https://arxiv.org/abs/1810.10427

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