Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix
Bai, Z. D. ; Yin, Y. Q.
Ann. Probab., Tome 21 (1993) no. 4, p. 1275-1294 / Harvested from Project Euclid
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 the limit $(1 - \sqrt y)^2$ as $n \rightarrow \infty$ and $p/n \rightarrow y \in (0,\infty)$, where $X$ is a $p \times n$ matrix with iid entries with mean zero, variance 1 and fourth moment finite. Also, as a by-product, it is shown that the almost sure limit of the largest eigenvalue is $(1 + \sqrt y)^2$, a known result obtained by Yin, Bai and Krishnaiah. The present approach gives a unified treatment for both the extreme eigenvalues of large sample covariance matrices.
Publié le : 1993-07-14
Classification:  Random matrix,  sample covariance matrix,  smallest eigenvalue of a random matrix,  spectral radius,  60F15,  62H99
@article{1176989118,
     author = {Bai, Z. D. and Yin, Y. Q.},
     title = {Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix},
     journal = {Ann. Probab.},
     volume = {21},
     number = {4},
     year = {1993},
     pages = { 1275-1294},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176989118}
}
Bai, Z. D.; Yin, Y. Q. Limit of the Smallest Eigenvalue of a Large Dimensional Sample Covariance Matrix. Ann. Probab., Tome 21 (1993) no. 4, pp.  1275-1294. http://gdmltest.u-ga.fr/item/1176989118/