A relatively obscure eigenvalue due to Wielandt is used to give a simple derivation of the asymptotic distribution of the eigenvalues of a random symmetric matrix. The asymptotic distributions are obtained under a fairly general setting. An application of the general theory to the bootstrap distribution of the eigenvalues of the sample covariance matrix is given.
Publié le : 1991-03-14
Classification:
Bootstrap,
covariance,
matrix,
eigenvalues,
random symmetric matrices,
62H25,
62E20
@article{1176347980,
author = {Eaton, Morris L. and Tyler, David E.},
title = {On Wielandt's Inequality and Its Application to the Asymptotic Distribution of the Eigenvalues of a Random Symmetric Matrix},
journal = {Ann. Statist.},
volume = {19},
number = {1},
year = {1991},
pages = { 260-271},
language = {en},
url = {http://dml.mathdoc.fr/item/1176347980}
}
Eaton, Morris L.; Tyler, David E. On Wielandt's Inequality and Its Application to the Asymptotic Distribution of the Eigenvalues of a Random Symmetric Matrix. Ann. Statist., Tome 19 (1991) no. 1, pp. 260-271. http://gdmltest.u-ga.fr/item/1176347980/