Principal components of spiked covariance matrices in the supercritical regime
arXiv:1907.12251
Abstract
In this paper, we study the asymptotic behavior of the extreme eigenvalues and eigenvectors of the spiked covariance matrices, in the supercritical regime. Specifically, we derive the joint distribution of the extreme eigenvalues and the generalized components of their associated eigenvectors in this regime.
arXiv commentThis paper has been included in arXiv: 2008.11903 as a special case. Hence, this paper will not be published separately
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