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covariance estimation 1eigenvalue phase transition 1high-dimensional statistics 1random matrix theory 1spiked mixture model 1

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math.PR2026

Phase Transition of Eigenvalues of Covariances from the Spiked Mixture Model in High-dimensional Regimes

Paul-Louis Delacour, Raf Van de Plas

The paper proves that the largest eigenvalues of covariance matrices from the spiked mixture model undergo a phase transition in high‑dimensional settings, and it characterizes how…