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arXiv · 1912.02819

The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications

Dandan Jiang·Jiang Hu·Zhiqiang Hou
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Abstract

A generalized spiked Fisher matrix is considered in this paper. We establish a criterion for the description of the support of the limiting spectral distribution of high-dimensional generalized Fisher matrix and study the almost sure limits of the sample spiked eigenvalues where the population covariance matrices are arbitrary which successively removed an unrealistic condition posed in the previous works, that is, the covariance matrices are assumed to be diagonal or diagonal block-wise structure. In addition, we also give a consistent estimator of the population spiked eigenvalues. A series of simulations are conducted that support the theoretical results and illustrate the accuracy of our estimators.

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Dandan Jiang, Jiang Hu, Zhiqiang Hou. 2019-12-06. The limits of the sample spiked eigenvalues for a high-dimensional generalized Fisher matrix and its applications. https://arxiv.org/abs/1912.02819

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