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arXiv · 2004.12932

Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices

Taras Bodnar·Nestor Parolya
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Abstract

A reflexive generalized inverse and the Moore-Penrose inverse are often confused in statistical literature but in fact they have completely different behaviour in case the population covariance matrix is not a multiple of identity. In this paper, we study the spectral properties of a reflexive generalized inverse and of the Moore-Penrose inverse of the sample covariance matrix. The obtained results are used to assess the difference in the asymptotic behaviour of their eigenvalues.

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Taras Bodnar, Nestor Parolya. 2020-04-27. Spectral analysis of large reflexive generalized inverse and Moore-Penrose inverse matrices. https://doi.org/10.1007/978-3-030-56773-6_1

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