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most citedGlobal and local CLTs for linear spectral statistics of general sample covariance matrices when the dimension is much larger than the sample size with applications

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math.PR2023

Tracy-Widom distribution for the edge eigenvalues of elliptical model

Xiucai Ding, Jiahui Xie

In this paper, we study the largest eigenvalues of sample covariance matrices with elliptically distributed data. We consider the sample covariance matrix where the data…

math.PR2023

Spiked multiplicative random matrices and principal components

Xiucai Ding, Hong Chang Ji

In this paper, we study the eigenvalues and eigenvectors of the spiked invariant multiplicative models when the randomness is from Haar matrices. We establish the limits of the out…